Autore
Iannilli, Sara

Titolo
Dynamic optimal asset allocation in a multivariate setting
Periodico
Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanza
Anno: 2024 - Volume: 25 - Pagina iniziale: 1 - Pagina finale: 11

This article analyzes a portfolio allocation problem to determine how resources should be allo-cated among several possible investments. Investors aim to maximize the profit of an investmentwhile also considering the risks arising from infrequent events. The global financial crisis, whichbegan with subprime mortgages in the United States, has fundamentally changed the way we in-vest. As we know, investors want to maximize returns while controlling the risk associated with aparticular investment. This behavior must be modeled mathematically using optimal control the-ory and expected utility maximization. A continuous-time market is considered in a multivariatecontext in which there exist risky asset classes and a risk-free asset with a constant interest rate.We deviate from the traditional approach by considering co-precision, the inverse of the covari-ance matrix, as a measure of risk. The optimal weights obtained are proportional (inversely) tothe risk measure (volatility). The model is tested on 11 asset classes used by a large companyalso carrying out astress teston the jump component to analyze the allocation of the investors'portfolio in a real context.



SICI: 2385-0825(2024)25<1:DOAAIA>2.0.ZU;2-U
Testo completo: https://rosa.uniroma1.it/rosa02/annali_memotef/article/view/1565

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