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A Quantile Game for Portfolio Construction in the Ornstein–Uhlenbeck Model

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We use the continuous model to study the formation of a portfolio of securities with prices described by Ornstein–Uhlenbeck processes. A zero-sum game is solved in which the investor chooses a vector of portfolio weights with the objective of maximizing the quantile estimator of the portfolio value, while Nature strives to minimize the value by choosing the time. A method is proposed for the construction of the saddle point in this game.

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References

  1. D. H. Baily and M. L. Prado, “Stop-outs under serial correlation and ‘the triple penance rule’,” J. Risk, 15, No. 2, 61−63 (2015).

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Authors and Affiliations

  1. Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, Moscow, Russia

    V. V. Morozov & T. N. Polushkin

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  1. V. V. Morozov
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  2. T. N. Polushkin
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Correspondence to V. V. Morozov.

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Translated from Prikladnaya Matematika i Informatika, No. 70, 2022, pp. 15–22.

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Morozov, V.V., Polushkin, T.N. A Quantile Game for Portfolio Construction in the Ornstein–Uhlenbeck Model. Comput Math Model 33, 107–114 (2022). https://doi.org/10.1007/s10598-023-09560-x

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  • DOI: https://doi.org/10.1007/s10598-023-09560-x

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