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01.07.2015 | Regular Article

Robust worst-case optimal investment

verfasst von: Sascha Desmettre, Ralf Korn, Peter Ruckdeschel, Frank Thomas Seifried

Erschienen in: OR Spectrum | Ausgabe 3/2015

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Abstract

Based on a robustness concept adapted from mathematical statistics, we investigate robust optimal investment strategies for worst-case crash scenarios when the maximum crash height is not known a priori. We specify an efficiency criterion in terms of the certainty equivalents of optimal terminal wealth and explicitly solve the investor’s portfolio problem for CRRA risk preferences. We also study the behavior of the minimax crash height and the efficiency of the associated strategies in the limiting case of infinitely many crashes.

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Our approach can be carried over to the multi-asset setup of Korn and Wilmott (2002), Seifried (2010). However, the analysis will involve numerical methods and does not provide additional insights.

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Titel: Robust worst-case optimal investment
verfasst von: Sascha Desmettre
Ralf Korn
Peter Ruckdeschel
Frank Thomas Seifried
Publikationsdatum: 01.07.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: OR Spectrum / Ausgabe 3/2015
Print ISSN: 0171-6468
Elektronische ISSN: 1436-6304
DOI: https://doi.org/10.1007/s00291-014-0370-y

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