TY - THES
A1 - Menkens, Olaf Arnd
T1 - Crash Hedging Strategies and Optimal Portfolios
N2 - In traditional portfolio optimization under the threat of a crash the investment horizon or time to maturity is neglected. Developing the so-called crash hedging strategies (which are portfolio strategies which make an investor indifferent to the occurrence of an uncertain (down) jumps of the price of the risky asset) the time to maturity turns out to be essential. The crash hedging strategies are derived as solutions of non-linear differential equations which itself are consequences of an equilibrium strategy. Hereby the situation of changing market coefficients after a possible crash is considered for the case of logarithmic utility as well as for the case of general utility functions. A benefit-cost analysis of the crash hedging strategy is done as well as a comparison of the crash hedging strategy with the optimal portfolio strategies given in traditional crash models. Moreover, it will be shown that the crash hedging strategies optimize the worst-case bound for the expected utility from final wealth subject to some restrictions. Another application is to model crash hedging strategies in situations where both the number and the height of the crash are uncertain but bounded. Taking the additional information of the probability of a possible crash happening into account leads to the development of the q-quantile crash hedging strategy.
N2 - Crash Hedging Strategien und Optimale Portfolios
KW - Hamilton-Jacobi-Differentialgleichung
KW - Stochastische dynamische Optimierung
KW - Portfolio Selection
KW - Portfolio Optimierung
KW - Crash Hedging
KW - Gleichgewichtsstrategien
KW - Betrachtung des Schlimmstmöglichen Falles
KW - portfolio optimization
KW - crash hedging
KW - equilibrium strategies
KW - worst-case scenario
KW - changing market coefficients
Y1 - 2004
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1596
UR - https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-18010
ER -