NDLI: Analysis of non-linear behavior - a sensitivity-based approach

Content Provider	IEEE Xplore Digital Library
Author	Xi-Ren Cao Xiangwei Wan
Copyright Year	2012
Description	Author affiliation: Department of Finance, Antai College of Economics and Management, Shanghai Jiao Tong University and the Department of Automation, Shanghai Jiao Tong University, 535 Fahua Zhen Road, 200052, China (Xi-Ren Cao) \|\| Department of Finance, Antai College of Economics and Management, Shanghai Jiao Tong University, 535 Fahua Zhen Road, 200052, China (Xiangwei Wan)
Abstract	One of the important issues in behavioral analysis is that the law of iterated expectation is lost due to the distortion in performance probability. The standard dynamic programming fails to work in this area. In this paper, we propose to use an alternative approach, the sensitivity-based approach, to solve the portfolio management problem in an environment with probability distortion. We show that after changing the underlying probability measure the distorted performance maintains some linearity, and the derivative of the distorted performance is simply the expectation of the sample path based derivative of the performance under this new measure, which can be obtained by perturbation analysis. We also provide simulation algorithms for the derivative of distorted performance. We apply this approach to the initial allocation problem with the distorted performance probability and obtained an optimal policy. We expect that this approach is applicable to other problems in the area of optimization in behavioral analysis.
Starting Page	849
Ending Page	854
File Size	272860
Page Count	6
File Format	PDF
ISBN	9781467320658
ISSN	07431546
e-ISBN	9781467320665
e-ISBN	9781467320641
DOI	10.1109/CDC.2012.6426898
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-12-10
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Nonlinear distortion Portfolios Optimization Distortion measurement Random variables Dynamic programming Resource management Sensitivity-based optimization Behavioral finance Portfolio management Perturbation analysis
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Control and Systems Engineering Modeling and Simulation

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization

A Stochastic Reachability Approach to Portfolio Construction in Finance Industry

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model

Multiobjective financial portfolio design: a hybrid evolutionary approach

Continuous-time behavioral portfolio selection

Bank Assets and Liabilities Portfolio Optimization Model Based on the Dual-Gap Immunity of the Directional Duration and Directional Convexity

A Monte Carlo Simulation of Portfolio Dynamic Risk and Its Application

A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

REVIEW OF DYNAMIC OPTIMIZATION METHODS IN RENEWABLE NATURAL RESOURCE MANAGEMENT

Analysis of non-linear behavior - a sensitivity-based approach

Similar Documents

Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization

A Stochastic Reachability Approach to Portfolio Construction in Finance Industry

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model

Multiobjective financial portfolio design: a hybrid evolutionary approach

Continuous-time behavioral portfolio selection

Bank Assets and Liabilities Portfolio Optimization Model Based on the Dual-Gap Immunity of the Directional Duration and Directional Convexity

A Monte Carlo Simulation of Portfolio Dynamic Risk and Its Application

A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

REVIEW OF DYNAMIC OPTIMIZATION METHODS IN RENEWABLE NATURAL RESOURCE MANAGEMENT

Analysis of non-linear behavior - a sensitivity-based approach