Mbigili, L., Mataramvura, S. and Charles, W. (2020) Optimal Portfolio Management When Stocks Are Driven by Mean Reverting Processes. Journal of Mathematical Finance, 10, 10-26.
https://doi.org/10.4236/jmf.2020.101002

has been cited by the following article:

• TITLE: Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities

  AUTHORS: Wendkouni Yaméogo, Korotimi Ouédraogo, Diakarya Barro

  KEYWORDS: Value at Risk, Expected Shortfall, Stochastic Process, Interest Rate

  JOURNAL NAME: Open Journal of Statistics, Vol.12 No.6, December 30, 2022

  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 according to the Hull and White model. Furthermore, we propose the optimization of this portfolio according to the value at risk model.