2022
DOI: 10.4236/ojs.2022.126047
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Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities

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… Show more

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