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Article: Optimal dynamic portfolio selection with earnings-at-risk

TitleOptimal dynamic portfolio selection with earnings-at-risk
Authors
Li, ZFYang, HDeng, XT
KeywordsBlack-scholes financial market
Constantly-rebalanced portfolios
Dynamic portfolio optimization
Earnings-at-risk
Issue Date2007
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239
Citation
Journal Of Optimization Theory And Applications, 2007, v. 132 n. 3, p. 459-473 How to Cite?
DOI: http://dx.doi.org/10.1007/s10957-007-9184-2
AbstractIn this paper we investigate a continuous-time portfolio selection problem. Instead of using the classical variance as usual, we use earnings-at-risk (EaR) of terminal wealth as a measure of risk. In the settings of Black-Scholes type financial markets and constantly-rebalanced portfolio (CRP) investment strategies, we obtain closed-form expressions for the best CRP investment strategy and the efficient frontier of the mean-EaR problem, and compare our mean-EaR analysis to the classical mean-variance analysis and to the mean-CaR (capital-at-risk) analysis. We also examine some economic implications arising from using the mean-EaR model. © 2007 Springer Science+Business Media, LLC.
Persistent Identifierhttp://hdl.handle.net/10722/54353
ISSN
0022-3239
2023 Impact Factor: 1.6
2023 SCImago Journal Rankings: 0.864
ISI Accession Number ID
WOS:000248205700007
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLi, ZFen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorDeng, XTen_HK
dc.date.accessioned2009-04-03T07:44:17Z-
dc.date.available2009-04-03T07:44:17Z-
dc.date.issued2007en_HK
dc.identifier.citationJournal Of Optimization Theory And Applications, 2007, v. 132 n. 3, p. 459-473en_HK
dc.identifier.issn0022-3239en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54353-
dc.description.abstractIn this paper we investigate a continuous-time portfolio selection problem. Instead of using the classical variance as usual, we use earnings-at-risk (EaR) of terminal wealth as a measure of risk. In the settings of Black-Scholes type financial markets and constantly-rebalanced portfolio (CRP) investment strategies, we obtain closed-form expressions for the best CRP investment strategy and the efficient frontier of the mean-EaR problem, and compare our mean-EaR analysis to the classical mean-variance analysis and to the mean-CaR (capital-at-risk) analysis. We also examine some economic implications arising from using the mean-EaR model. © 2007 Springer Science+Business Media, LLC.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239en_HK
dc.relation.ispartofJournal of Optimization Theory and Applicationsen_HK
dc.rightsThe original publication is available at www.springerlink.comen_HK
dc.subjectBlack-scholes financial marketen_HK
dc.subjectConstantly-rebalanced portfoliosen_HK
dc.subjectDynamic portfolio optimizationen_HK
dc.subjectEarnings-at-risken_HK
dc.titleOptimal dynamic portfolio selection with earnings-at-risken_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0022-3239&volume=132&issue=3&spage=459&epage=473&date=2007&atitle=Optimal+dynamic+portfolio+selection+with+earnings-at-risken_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1007/s10957-007-9184-2en_HK
dc.identifier.scopuseid_2-s2.0-34547313010en_HK
dc.identifier.hkuros129418-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34547313010&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume132en_HK
dc.identifier.issue3en_HK
dc.identifier.spage459en_HK
dc.identifier.epage473en_HK
dc.identifier.isiWOS:000248205700007-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridLi, ZF=17434361900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridDeng, XT=7401768881en_HK
dc.identifier.issnl0022-3239-

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