Worst portfolios for dynamic monetary utility processes

DOI10.1080/17442508.2017.1311901MaRDI QIDQ5085828zbMATH OpenOpenAlexFDO

Authors Daniel Hernández-Hernández, Oscar-Hernan Madrid-Padilla

Publication date 30 June 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.04686

zbMATH Keywords

risk measurestime-consistencycomonotonicityrelevancybest portfoliomonetary utility function process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Abstract: We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is introduced for these processes in order to prove the existence of worst portfolios. Using robust representations of monetary utility function processes in discrete time, a relation between the worst portfolios at different periods of time is presented. Finally, we study conditions to achieve the maximum in the representation theorems for concave monetary utility functions that are continuous for bounded decreasing sequences.

Recommendations

• Worst-case portfolio optimization in discrete time
• Multi-asset worst-case optimal portfolios
• On Worst-Case Portfolio Optimization
• Worst case portfolio vectors and diversification effects
• scientific article; zbMATH DE number 2247654

Cites work

• A characterization of random variables with minimum L^ 2-distance
• Approaches to conditional risk
• Coherent measures of risk
• Comonotonic measures of multivariate risks
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Consistent risk measures for portfolio vectors
• Dynamic monetary risk measures for bounded discrete-time processes
• Law invariant convex risk measures for portfolio vectors
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• On the \(n\)-coupling problem
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Stochastic finance. An introduction in discrete time.
• Worst case portfolio vectors and diversification effects

This page was built for publication: Worst portfolios for dynamic monetary utility processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085828)