全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

基于随机基准的动态均值-方差投资组合选择

DOI: 10.13195/j.kzyjc.2012.1802, PP. 499-505

Keywords: 动态投资组合,随机基准,最优投资策略,有效前沿

Full-Text   Cite this paper   Add to My Lib

Abstract:

在不完全市场下,研究基于随机基准的动态均值-方差投资组合选择问题.该问题也可以理解为一个跟踪误差动态投资组合问题,并将之转化为一个等价的考虑风险调整的期望相对收益最大化问题.利用随机动态规划方法,给出了最优投资策略和有效前沿的显式表达式.最后通过实证分析表明了不完全市场和完全市场下最优投资策略和有效前沿的变化,并对相关结论进行了经济解释.

References

[1]  Jorion P. Portfolio optimization with tracking error constraints[J]. Financial Analysts J, 2003, 59(5): 70-82.
[2]  方毅, 张屹山. 跟踪误差下积极资产组合投资的风险约束机制[J]. 中国管理科学, 2006, 14(4): 19-24.
[3]  (Fang Y, Zhang Y S. Risk control mechanism of active portfolio investment with tracking error constraints[J]. Chinese J of Management Science, 2006, 14(4): 19-24.)
[4]  Wang M. Multiple-benchmark and multiple-portfolio optimization[J]. Financial Analysts J, 1999, 55(1): 63-72.
[5]  Muralidhar A. Optimal risk-adjusted portfolios with multiple managers[J]. The J of Portfolio Management, 2001, 27(3): 97-104.
[6]  Rudolf Markus, Wolter Hans-jurgen, Heinz Zimmermann. A linear model for tracking error minimization[J]. J of Banking and Finance, 2000, 23(1): 85-103.
[7]  马永开, 唐小我. 基于市场基准的多因素证券组合投资决策模型研究[J]. 系统工程理论与实践, 2004, 24(7): 30-37.
[8]  (Ma Y K, Tang X W. A study on a multi-factor model of portfolio choice with benchmark[J]. Systems Engineering Theory and Practice, 2004, 24(7): 30-37.)
[9]  高莹, 黄小原. 具有VaR 约束的跟踪误差投资组合鲁棒优化模型[J]. 中国管理科学, 2007, 15(1): 1-5.
[10]  (Gao Y, Huang X Y. Robust optimal tracking error portfolio models based on VaR[J]. Chinese J of Management Science, 2007, 15(1): 1-5.)
[11]  Gordon J Alexander. Active portfolio management with benchmarking: Adding a Value-at-Risk constraint[J]. J of Economic Dynamics and Control, 2008, 32(3): 779-820.
[12]  荣喜民, 夏江山. 基于CVaR 约束的指数组合优化模型及实证分析[J]. 数理统计与管理, 2007, 26(4): 621-628.
[13]  (Rong X M, Xia J S. Index portfolio optimization model with CVaR constraints and a practical analysis[J]. Application of Statistics and Management, 2007, 26(4): 621-628.)
[14]  Alexandre M Baptista. Optimal delegated portfolio management with background risk[J]. J of Banking and Finance, 2008, 32(6): 977-985.
[15]  Merton R. Continuous-time finance[M]. Cambridge: Basil Blackwell, 1990: 128-164.
[16]  Long J. The numeraire portfolio[J]. J of Financial Economics, 1990, 26(1): 29-69.
[17]  Cox J, Huang C. Optimum consumption and portfolio policies when asset prices follow a diffusion process[J]. J of Economic Theory, 1989, 49(1): 33-83.
[18]  Roll Richard. A mean-variance analysis of trackingerror[J]. J of Portfolio Management, 1992, 18(4): 13-22.
[19]  Tepla L. Optimal investment with minimum performance constraints[J]. J of Economic Dynamic and Control, 2001, 25(10): 1629-1645.
[20]  Basak S, Shapiro A. Value-at-Risk based risk management: Optimal policies and asset prices[J]. Review of Financial Studies, 2001, 14(2): 371-405.
[21]  Gabih A, Sass J, Wunderlich R. Utility maximization with bounded shortfall risks in anHMMfor the stock returns[C]. Proc of the 2nd Brazilian Conf on Statistical Modelling in Insurance and Finance. Sao Paulo: University of Sao Paulo, 2005: 116-121.
[22]  Browne S. Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark[J]. Finance and Stochastics, 1999, 3(3): 275-294.
[23]  Browne S. Risk-constrained dynamic active portfolio management[J]. Management Science, 2000, 46(9): 1188-1199.
[24]  Zhao Yong-gan. A dynamic model of active portfolio management with benchmark orientation[J]. J of Banking and Finance, 2007, 31(11): 3336-3356.
[25]  王亦奇, 刘海龙, 刘富兵. 灵活收益保证设定形式下的最优投资策略[J]. 系统工程理论与实践, 2011, 31(6): 1014-1020.
[26]  (Wang Y Q, Liu H L, Liu F B. Optimal investment strategies under flexible return guarantee[J]. Systems Engineering Theory and Practice, 2011, 31(6): 1014-1020.)
[27]  Li D, Ng W L. Optimal dynamic portfolio selection: Multi-period mean-variance formulation[J]. Mathematical Finance, 2000, 10(3): 387-406.
[28]  许云辉, 李仲飞. 基于收益序列相关的动态投资组合选择-动态均值方差模型[J]. 系统工程理论与实践, 2008, 28(8): 124-131.
[29]  (Xu Y H, Li Z F. Dynamic portfolio selection based on serieally correlated return-dynamic mean-variance formulation[J]. Systems Engineering Theory and Practice, 2008, 28(8): 124-131.)
[30]  Zhou X Y, Li D. Continuous-time mean-variance portfolio selection: A stochastic LQ framework[J]. Applied Mathematics and Optimization, 2000, 42(1): 19-33.
[31]  Li X, Zhou X Y, Lim A E B. Dynamic mean-variance portfolio selection with no shorting constraints[J]. SIAM J on Control and Optimization, 2002, 40(5): 1540-155.
[32]  Chiu M C, Li D. Asset and liability management under a continuous time mean-variance optimization framework[J]. Insurance: Mathematics and Economics, 2006, 39(3): 330-355.
[33]  Xie S X, Li Z F, Wang S Y. Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach[J]. Insurance: Mathematics and Economics, 2008, 42(3): 943-953.
[34]  刘海飞, 朱洪亮, 吴承尧. 协同持续下资产组合最优决策理论与实证研究[J]. 管理科学学报, 2010, 13(9): 37-46.
[35]  (Liu H F, Zhu H L, Wu C Y. Theoretical and empirical research on optimization of portfolio decision-making with co-persistence[J]. J of Management Sciences in China, 2010, 13(9): 37-46.)

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133