Dynamic portfolio optimization with risk management and strategy constraints
Csilla Krommerová
PhD thesis advisor: Igor Melicherčík
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Summary: We investigate the field of portfolio optimization where the agent maximizes the expected utility from the terminal wealth. The aim of this work is to obtain dynamic portfolio strategies where risk management and strategy constraints apply. When requiring a guaranteed floor with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model and the alternative method. When the floor is gua\-ranteed partially, we provide conditions under which the Limited-Expected-Losses based risk management is optimal. We show that the Value-at-Risk based risk management is not admissible and provide an admissible alternative to it, the portfolio insurance with spreads.


Related papers

[1] Krommerová Cs.: Expected utility maximization with risk management and strategy constraints, Zborník z prvého česko-slovenského workshopu mladých ekonómov [elektronický zdroj] (2012)

[2] Krommerová Cs., Melicherčík I.: Dynamic portfolio optimization with risk management and strategy constraints, Kybernetika, in review