Dynamic Stochastic Accumulation Model with Application
to Portfolio Risk Management
Darina Graczová
PhD thesis advisor:
Daniel Ševčovič
Download PhD thesis - Full text
Synopsis Summary:
Iearch we focus on the modeling of portfolio returns with fat-tailed
distributions that have the property to exhibit extreme large skewness and
kurtosis. We focus on the normal-inverse Gaussian distribution and analyze
the impact of higher moments on the optimal choice of the portfolio
composition. We consider a dynamic stochastic model of Bellman type and
discuss the problem of optimal choice of portfolio composition with
different level of risk dependent on proportion of risky - to - non-risky
assets, especially in application to pension management.
We propose a numerical scheme for calculation and perform a sensitivity
analysis of the descriptive statistics of asset returns on the accumulated
sum at the final time as well as in each time step during the saving. We
compare the results considering the normal distribution and NIG distribution
with different skewness and kurtosis and discuss the distribution of
accumulated sum at the final time.
Related papers
[1] D. Graczova and P. Jacko: Generalized Restless Bandits and Knapsack
Problem for Perishable Inventories, Operations Research, Volume 62 Issue 3, 2014, pp. 696-711
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