Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk

Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi and Vahed Maroufy

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Abstract: In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth. Numerical studies as well as applications of our results to real datasets are also provided.

Date: 2021-04
New Economics Papers: this item is included in nep-cwa and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2104.11594

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