A0470
Title: Optimal portfolio and insurance problems under a value-at-risk constraint
Authors: Cedric Yiu - The Hong Kong Polytechnic University (Hong Kong) [presenting]
Abstract: The portfolio selection problem will be considered. For ordinary investors or insurers who invest in the financial market, they need to manage portfolios continuously. At the same time, they need to fulfil the regulatory requirement governed by the value-at-risk constraints. This problem is addressed. For the investment, the goal is to maximize the expected utility of terminal wealth. By using the principle of dynamic programming, the Hamilton-Jacobi-Bellman (HJB) equation can be derived. We will examine a few scenarios with different stochastic processes such as regime switching, and discuss how to solve the resulting HJB equation. Furthermore, we will investigate the impacts of the risk constraint on the optimal strategies.
