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Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk

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  • Bahareh Afhami
  • Mohsen Rezapour
  • Mohsen Madadi
  • Vahed Maroufy

Abstract

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.

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  • Bahareh Afhami & Mohsen Rezapour & Mohsen Madadi & Vahed Maroufy, 2021. "Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk," Papers 2104.11594, arXiv.org.
    • Handle: RePEc:arx:papers:2104.11594
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    References listed on IDEAS

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