|
| volgende >> |
Tijdschrift beschrijving
Alle jaargangen van het bijbehorende tijdschrift
Alle afleveringen van het bijbehorende jaargang
Alle artikelen van de bijbehorende aflevering
Details van artikel 1 van 6 gevonden artikelen
| Titel: |
Down-side risk minimization under prescribed consumption level |
| Auteur: |
Nagai, Hideo |
| Verschenen in: |
Risk and decision analysis |
| Paginering: | Jaargang 3 (2012) nr. 3 pagina's 191-200 |
| Jaar: |
2012-07-02 |
| Inhoud: |
We are interested in exploring methodology to estimate small probabilities of rare events from the view points of stochastic control. In particular, we study portfolio choice to be selected by an investor possessing several kinds of securities under prescribed consumption level, who is considering minimizing down-side risk probability for his (her) total wealth of falling below a given target growth rate in the long term. We shall show the problem finding the strategy minimizing such probability is considered large deviations control. From this viewpoint we shall state about general asymptotic theory for factor models, explicit calculation for linear Gaussian models, and consideration in the case of complete market models. |
| Uitgever: |
IOS Press |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 1 van 6 gevonden artikelen
| volgende >> |