Arbeitspapier
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima increases exponentially with the number of states, implying computational complexity. The optimal constrained portfolio allocation may therefore not be monotonic in the state–price density. We propose a type of financial innovation, which splits states of nature, that is shown to weakly enhance welfare, restore monotonicity of the optimal portfolio allocation in the state-price density, and reduce computational complexity.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 01-069/2
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
Portfolio Optimization
Value-at-Risk
NP-hard
Portfolio-Management
Finanzprodukt
Theorie
Risikomaß
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Daníelsson, Jón
Jorgensen, Bjørn N.
de Vries, Casper G.
Yang, Xiaogang
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Daníelsson, Jón
- Jorgensen, Bjørn N.
- de Vries, Casper G.
- Yang, Xiaogang
- Tinbergen Institute
Entstanden
- 2001
Ähnliche Objekte (12)
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Probabilistic inductive constraint logic
Portfolio optimization under correlation constraint
Probabilistic Logic, Probabilistic Regular Expressions, and Constraint Temporal Logic
Probabilistic strain optimization under constraint uncertainty
Optimal Allocation of Retirement Portfolios
Construction of probabilistic inferences by constraint satisfaction?
Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods
Incentives for Motivated Agents under an Administrative Constraint
Incentives for Motivated Agents under an Administrative Constraint
Asset-allocation-Entscheidungen im Portfolio-Management
Dynamic asset allocation for household portfolios
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Probabilistic inductive constraint logic
Portfolio optimization under correlation constraint
Probabilistic Logic, Probabilistic Regular Expressions, and Constraint Temporal Logic
Probabilistic strain optimization under constraint uncertainty
Optimal Allocation of Retirement Portfolios
Construction of probabilistic inferences by constraint satisfaction?
Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods
Incentives for Motivated Agents under an Administrative Constraint
Incentives for Motivated Agents under an Administrative Constraint
Asset-allocation-Entscheidungen im Portfolio-Management
Dynamic asset allocation for household portfolios
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Probabilistic inductive constraint logic
Portfolio optimization under correlation constraint
Probabilistic Logic, Probabilistic Regular Expressions, and Constraint Temporal Logic
Probabilistic strain optimization under constraint uncertainty
Optimal Allocation of Retirement Portfolios
Construction of probabilistic inferences by constraint satisfaction?
Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods
Incentives for Motivated Agents under an Administrative Constraint
Incentives for Motivated Agents under an Administrative Constraint
Asset-allocation-Entscheidungen im Portfolio-Management