论文标题
动态风险限制对有限责任运营商的重要性
The importance of dynamic risk constraints for limited liability operators
论文作者
论文摘要
先前的文献表明，在投资组合优化的背景下，具有S-Shaper效用功能的寻求尾巴风险的交易者的普遍风险措施，例如风险或预期短缺的价值或预期的短缺。但是，这些结论仅在约束是静态的情况下才得出的，因为风险度量仅适用于终端投资组合价值。在本文中，我们考虑了带有S形实用程序和动态风险限制的投资组合优化问题，该问题在整个交易范围内施加。如果风险控制政策相对于资产绩效，交易者的投资组合策略以及最大预期的实用程序可以通过动态风险措施有效限制。最后，我们认为，如果交易者可以进入衍生品市场，动态风险限制可能仍然无效。
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when the constraints are static in the sense that the risk measure is just applied to the terminal portfolio value. In this paper, we consider a portfolio optimisation problem featuring S-shaped utility and a dynamic risk constraint which is imposed throughout the entire trading horizon. Provided that the risk control policy is sufficiently strict relative to the asset performance, the trader's portfolio strategies and the resulting maximal expected utility can be effectively constrained by a dynamic risk measure. Finally, we argue that dynamic risk constraints might still be ineffective if the trader has access to a derivatives market.
