Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
2021-04-22Unverified0· sign in to hype
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi, Vahed Maroufy
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In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth. Numerical studies as well as applications of our results to real datasets are also provided.