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Dynamic Average Value-at-Risk Allocation on Worst Scenarios in Asset Management

  • Yuji YoshidaEmail author
  • Satoru Kumamoto
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11436)

Abstract

A dynamic portfolio optimization model with average value-at-risks is discussed for drastic declines of asset prices. Analytical solutions for the optimization at each time are obtained by mathematical programming. By dynamic programming, an optimality equation for optimal average value-at-risks over time is derived. The optimal portfolios and the corresponding average value-at-risks are given as solutions of the optimality equation. A numerical example is given to understand the solutions and the results.

Notes

Acknowledgments

This research is supported from JSPS KAKENHI Grant Number JP 16K05282.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Faculty of Economics and Business AdministrationUniversity of KitakyushuKitakyushuJapan

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