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Portfolio optimization under a quantile hedging constraint

Abstract:

We study a problem of portfolio optimization under a European quantile hedging constraint. More precisely, we consider a class of Markovian optimal stochastic control problems in which two controlled processes must meet a probabilistic shortfall constraint at some terminal date. We denote by V the corresponding value function. Following the arguments introduced in the literature on stochastic target problems, we convert this problem into a state constraint one in which the constraint is defin...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1142/S0219024918500486

Authors


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Institution:
University of Oxford
Division:
SSD
Department:
SOGE
Sub department:
Smith School
Role:
Author
ORCID:
0000-0002-1980-7272
Natixis Foundation for Quantitative Finance More from this funder
YITP Research Prize More from this funder
Publisher:
World Scientific Publishing Publisher's website
Journal:
International Journal of Theoretical and Applied Finance Journal website
Volume:
21
Issue:
07
Publication date:
2018-10-15
Acceptance date:
2018-07-30
DOI:
EISSN:
1793-6322
ISSN:
0219-0249
Source identifiers:
935235
Keywords:
Pubs id:
pubs:935235
UUID:
uuid:cfbd3eca-5953-4017-83e0-efdafd3f65fe
Local pid:
pubs:935235
Deposit date:
2018-10-30

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