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Dynamic Average Value-at-Risk Allocation on Worst Scenarios in Asset Management

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Theory and Applications of Models of Computation (TAMC 2019)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 11436))

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Abstract

A dynamic portfolio optimization model with average value-at-risks is discussed for drastic declines of asset prices. Analytical solutions for the optimization at each time are obtained by mathematical programming. By dynamic programming, an optimality equation for optimal average value-at-risks over time is derived. The optimal portfolios and the corresponding average value-at-risks are given as solutions of the optimality equation. A numerical example is given to understand the solutions and the results.

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Acknowledgments

This research is supported from JSPS KAKENHI Grant Number JP 16K05282.

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Authors and Affiliations

  1. Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, 802-8577, Japan

    Yuji Yoshida & Satoru Kumamoto

Authors
  1. Yuji Yoshida
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  2. Satoru Kumamoto
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Corresponding author

Correspondence to Yuji Yoshida .

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Editors and Affiliations

  1. Anna University, Chennai, India

    T.V. Gopal

  2. Waseda University, Kitakyushu, Japan

    Junzo Watada

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Yoshida, Y., Kumamoto, S. (2019). Dynamic Average Value-at-Risk Allocation on Worst Scenarios in Asset Management. In: Gopal, T., Watada, J. (eds) Theory and Applications of Models of Computation. TAMC 2019. Lecture Notes in Computer Science(), vol 11436. Springer, Cham. https://doi.org/10.1007/978-3-030-14812-6_42

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  • DOI: https://doi.org/10.1007/978-3-030-14812-6_42

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-14811-9

  • Online ISBN: 978-3-030-14812-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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