Worst-case portfolios with risk processes
Canizales Rivera, Evgeniya
The problem of optimizing investments in the presence of random risk is of real concern for insurance companies. Like ordinary investors, they have a set of risky and non-risky assets as a choice to invest into. But their wealth depends not only on how they allocate the money, but also on the occurring claims that they have to pay for. These claims arrive randomly, and therefore the risk that they represent is not hedgeable. This work explores...