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一类灰色组合投资决策方法 总被引:1,自引:0,他引:1
以灰色系统理论和概率论为基础,探讨了含有区间灰数的组合投资决策问题,提出了具有交易费用的灰色组合投资模型的有效解及其临界最优解和均值白化最优解的概念.并且指出了这些概念所对应的投资偏好.利用分析方法和技巧,融合经典组合投资理论,构建了带有交易费用的灰色组合投资模型的熵权分析算法.为不确定型组合投资决策方法的研究提出了一条新思路.文中的算例说明了算法的可行性. 相似文献
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随机参数和随机资金流环境下基于二次效用函数的投资组合优化 总被引:1,自引:0,他引:1
研究完全市场下基于二次效用最大化的带有随机资金流的动态投资组合选择问题,其中假设无风险利率、股票收益率和波动率矩阵都是一致有界随机过程.通过应用线性二次控制方法和向后随机微分方程理论得到了最优投资组合的解析表达式. 相似文献
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研究了跳扩散结构下带有下方风险控制的动态投资组合优化问题.基于投资组合中每一种资产的收益率观测序列,模型在不断变化的数据窗口下把组合比例看作向量值随机过程,利用马尔可夫链蒙特卡罗模拟方法得到随时间变化的动态投资组合最优配置,这样可以根据市场信息的变化及时做出策略调整,既达到了预期收益目标又控制了风险,使得组合投资更切实际.通过实例分析可以看出,该方法相对传统方法更行之有效而且操作简便. 相似文献
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在具有可观测和不可观测状态的金融市场中,利用隐马尔可夫链描述不可观测状态的动态过程,研究了不完全信息市场中的多阶段最优投资组合选择问题.通过构造充分统计量,不完全信息下的投资组合优化问题转化为完全信息下的投资组合优化问题,利用动态规划方法求得了最优投资组合策略和最优值函数的解析解.作为特例,还给出了市场状态完全可观测时的最优投资组合策略和最优值函数. 相似文献
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连续时间下的最佳投资组合和弹性 总被引:1,自引:0,他引:1
考虑了随机过程框架下的最优投资组合问题 ,发现弹性是投资组合的决策变量 .求解最优投资组合问题可以分为两个阶段 :在第一阶段 ,求解最优弹性使得 (期望 )效用最大 ;在第二阶段 ,寻找投资组合 ,使得投资组合的弹性等于最优弹性 .结果具有一般性 ,有广泛应用 ,例如 ,可用于含有期权的投资组合中去 相似文献
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以往关于资产组合选择的研究大多假设市场上存在无风险资产,但无风险资产实际上是不存在的.当不存在无风险资产时,假设投资者的效用定义在消费上,消费一直是投资者财富的一个固定比例,投资者的最优资产组合由两部分组成:短视的资产组合和对冲组合.假设只有股票和债券两种风险资产,当股票和债券的风险具有负的相关性时,投资者现在会消费更多,同时也会在股票上投资更多;两者正相关时,投资者无法降低风险,会减持股票并降低当前消费;两者不相关时,投资者持有的股票权重和存在无风险资产时一样.最后,还推导出了多种资产情况下最优消费和资产组合的解析表达式. 相似文献
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均值方差偏好和期望损失风险约束下的动态投资组合 总被引:1,自引:0,他引:1
本文在均值方差框架下,研究了期望损失风险约束下的连续时间动态投资组合问题。运用鞅理论和凸对偶方法,分别给出了最优财富和最优投资策略的解析式,而且两基金分离定理仍然成立。最后通过数值例子分析了风险约束对最优投资策略的影响。 相似文献
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In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the optimal portfolio. The remarkable feature of the algorithm is that it is extremely easy to implement, and it can be extended to any size of portfolio selection problems for finding an exact optimal solution. 相似文献
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在不确定性条件下,期望的不可计算性、行动结果比较的局限性以及投资个体选择的非理性使理性假定的选择理论脱离现实,因此重新探讨决策选择准则是必要的.以行为金融理论中不确定性状态下的有限理性与满意准则为依据,引入与满意准则一致且体现损失厌恶偏好的VaR作为风险指标,构建行为资产组合模型,在一种简单新颖的M-V模型的矩阵解法基础上,探寻了正态与部分非正态性假设下VaR-BPT模型的显性最优解或有效前沿,解决了现实中最优投资组合选择的可操作性难题,并在中国股票市场验证了正态性转换方法是处理非正态分布下资产组合选择问题的一种优秀方法. 相似文献
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Optimal consumption-leisure, portfolio and retirement selection based on α-maxmin expected CES utility with ambiguity 总被引:1,自引:0,他引:1
Wei-yin Fei 《高校应用数学学报(英文版)》2012,27(4):435-454
This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by ??-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiplepriors utility and the technique of backward stochastic differential equations (BSDEs), we transform the ??-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor??s uncertainty. Our model investigates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flexibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed. 相似文献
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《Operations Research Letters》2022,50(5):513-516
Recently, various models have been proposed to engage portfolio selection or ESG investments. In this brief report, we solve the problem of optimal portfolio selection of arbitrary ESG utility functions where the ESG preference function is based on the average ESG score. The proposed optimal solution shows that the impact of the ESG score and the expected return vectors on the optimal weights are equal, up to a scalar, regardless of the utility function of the investors. 相似文献
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如何在摩擦市场下构建最优组合一直是一个非常有意义的问题.人们通常在有效前沿上选择最优的投资组合,但是值得注意的是,如果我们考虑摩擦因素,原本的有效组合将不再有效.探讨如何在无风险借贷利率不同的摩擦市场下构建投资组合模型.为了得到最优策略,我们先利用Karush-Kuhn-Tucker条件给出一类线性规划问题求解方法,然后具体阐述如何将投资决策问题转化为可以求解的线性规划问题,最后给出在无风险借贷利率不同的情况下投资组合的有效边界. 相似文献
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Practically all organizations seek to create value by selecting and executing portfolios of actions that consume resources. Typically, the resulting value is uncertain, and thus organizations must take decisions based on ex ante estimates about what this future value will be. In this paper, we show that the Bayesian modeling of uncertainties in this selection problem serves to (i) increase the expected future value of the selected portfolio, (ii) raise the expected number of selected actions that belong to the optimal portfolio ex post, and (iii) eliminate the expected gap between the realized ex post portfolio value and the estimated ex ante portfolio value. We also propose a new project performance measure, defined as the probability that a given action belongs to the optimal portfolio. Finally, we provide analytic results to determine which actions should be re-evaluated to obtain more accurate value estimates before portfolio selection. In particular, we show that the optimal targeting of such re-evaluations can yield a much higher portfolio value in return for the total resources that are spent on the execution of actions and the acquisition of value estimates. 相似文献
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Portfolio selection is an important issue in finance and it involves the balance between risk and return. This paper investigates portfolio selection under Mean-CVa R model in a nonparametric framework with α-mixing data as financial data tends to be dependent. Many works have provided some insight into the performance of portfolio selection from the aspects of data and simulation while in this paper we concentrate on the asymptotic behaviors of the optimal solutions and risk estimation in theory. 相似文献