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Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities
LANIBIO, Université Joseph KI-ZERBO, Ouagadougou, Burkina Faso
LANIBIO, Université Joseph KI-ZERBO, Ouagadougou, Burkina Faso
Université Thomas SANKARA, Ouagadougou, Burkina Faso
- 1 LANIBIO, Université Joseph KI-ZERBO, Ouagadougou, Burkina Faso
- 2 LANIBIO, Université Joseph KI-ZERBO, Ouagadougou, Burkina Faso
- 3 Université Thomas SANKARA, Ouagadougou, Burkina Faso
Open Journal of Statistics·Volume 12 (2022)·Pages 827–838·Published 29 December 2022·DOI10.4236/ojs.2022.126047
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Abstract
In financial analysis risk quantification is essential for efficient portfolio management in a stochastic framework. In this paper we study the value at risk, the expected shortfall, marginal expected shortfall and value at risk, incremental value at risk and expected shortfall, the marginal and discrete marginal contributions of a portfolio. Each asset in the portfolio is characterized by a trend, a volatility and a price following a three-dimensional diffusion process. The interest rate of each asset evolves according to the Hull and White model. Furthermore, we propose the optimization of this portfolio according to the value at risk model.
KeywordsValue at RiskExpected ShortfallStochastic ProcessInterest Rate
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