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摘要翻译：
我们从基金经理的角度研究了投资组合保险问题，基金经理向投资者保证投资组合在到期时的价值将高于一个固定的阈值。如果在到期时，投资组合价值低于保证水平，第三方将向投资者退款，直至保证水平。作为这种保护的交换，第三方以凸货币风险度量的形式对基金经理的风险敞口施加限制。因此，在风险度量约束下，基金经理试图使投资者的效用函数最大化。在完全市场环境下，我们给出了这个非凸优化问题的完全解，特别说明了风险度量的选择对最优投资组合的存在至关重要。对于熵风险测度（最优投资组合总是存在）和谱风险测度（最优投资组合在某些情况下可能不存在），给出了显式结果。
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英文标题：
《Portfolio Insurance under a risk-measure constraint》
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作者：
Carmine De Franco and Peter Tankov
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the guaranteed level, a third party will refund the investor up to the guarantee. In exchange for this protection, the third party imposes a limit on the risk exposure of the fund manager, in the form of a convex monetary risk measure. The fund manager therefore tries to maximize the investor's utility function subject to the risk measure constraint.We give a full solution to this nonconvex optimization problem in the complete market setting and show in particular that the choice of the risk measure is crucial for the optimal portfolio to exist. Explicit results are provided for the entropic risk measure (for which the optimal portfolio always exists) and for the class of spectral risk measures (for which the optimal portfolio may fail to exist in some cases).
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PDF链接：
https://arxiv.org/pdf/1102.4489
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