Corpus ID: 199543271

Portfolio optimization while controlling Value at Risk, when returns are heavy tailed

@article{Biswas2019PortfolioOW,
  title={Portfolio optimization while controlling Value at Risk, when returns are heavy tailed},
  author={Subhojit Biswas and Diganta Mukherjee},
  journal={arXiv: Portfolio Management},
  year={2019}
}
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices return. We use Markov Decision Process and dynamic programming principle to get the optimal strategies and the value function which maximize the expected utility for parametric as well as non parametric distributions. Due to lack of explicit solution in the… Expand

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