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A worst-case approach for interest rate stresses and stock crashes
IMA Journal of Management Mathematics ( IF 1.7 ) Pub Date : 2021-05-07 , DOI: 10.1093/imaman/dpab019
Marcel Beißer 1 , Leander Geisinger 2 , Ralf Korn 1, 3
Affiliation  

In the current low interest rate environment even sovereign bonds cannot be considered as risk-free investments. To care for this aspect we introduce a worst-case continuous-time portfolio problem with combined stresses, that is, both stocks and the money market account can experience shocks in the form of unpredictable downward jumps in their values. We characterize the worst-case optimal portfolio strategy as an indifference strategy that is the solution of a constrained optimization problem. Our results generalize existing results in a multi-asset setting. Numerical examples demonstrate new effects in the presence of interest rate shocks. These insights can be used for risk management in the presence of crash risks.

中文翻译:

应对利率压力和股市崩盘的最坏情况方法

在当前的低利率环境下,即使是主权债券也不能被视为无风险投资。为了解决这个问题,我们引入了一个具有综合压力的最坏情况的连续时间投资组合问题,也就是说,股票和货币市场账户都可能以不可预测的向下跳跃的形式经历冲击。我们将最坏情况下的最优投资组合策略描述为一种无差异策略,它是约束优化问题的解决方案。我们的结果概括了多资产设置中的现有结果。数值例子展示了利率冲击存在的新影响。这些见解可用于存在崩溃风险时的风险管理。
更新日期:2021-05-07
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