Optimal portfolios under worst-case scenarios
研究了投资者在金融市场压力状态下对最终财富施加额外约束时的最优策略，构建了优于传统分散策略的显式最优策略。
In standard portfolio theories such as Mean-Variance optimization, expected utility theory, rank dependent utility heory, Yaari's dual theory and cumulative prospect theory, the worst outcomes for optimal strategies occur when the market declines (e.g. during crises), which is at odds with the needs of many investors. Hence, we depart from the traditional settings and study optimal strategies for investors who impose additional constraints on their final wealth in the states corresponding to a stressed financial market. We provide a framework that maintains the stylized features of the SP/A theory while dealing with the goal of security in a more flexible way. Preferences become state-dependent, and we assess the impact of these preferences on trading decisions. We construct optimal strategies explicitly and show how they outperform traditional diversified strategies under worst-case scenarios. © 2014 Copyright Taylor & Francis Group, LLC.