AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA MATHEMATICA - Ediţia nr.4 din 2008 | |||||||
Articol: |
OPTIMAL DYNAMIC PORTFOLIOS UNDER A TAIL CONDITIONAL EXPECTATION CONSTRAINT. Autori: DANIEL AKUME, GUY MERLIN MBAKOP. |
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Rezumat: We consider a portfolio problem when a tail conditional expectation constraint is imposed. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset. The tail conditional expectation is derived, re-calculated at short intervals of time and imposed continuously. The method of Lagrange multipliers is combined with the Hamilton-Jacobi-Bellman equation to insert the constraint into the resolution framework. A numerical method is applied to obtain an approximate solution to the problem. We find that the imposition of the tail conditional expectation constraint when risky assets evolve following a log-normal distribution, curbs investment in the risky assets and increases consumption. | |||||||