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- W3124294718 abstract "We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices return. We use Markov Decision Process and dynamic programming principle to get the optimal strategies and the value function which maximize the expected utility for parametric as well as non parametric distributions. Due to lack of explicit solution in the non parametric case, we use numerical integration for optimization" @default.
- W3124294718 created "2021-02-01" @default.
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- W3124294718 date "2019-08-01" @default.
- W3124294718 modified "2023-09-23" @default.
- W3124294718 title "Portfolio optimization while controlling Value at Risk, when returns are heavy tailed" @default.
- W3124294718 hasPublicationYear "2019" @default.
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