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1.
考虑红利支付与提前退休的最优投资组合   总被引:1,自引:0,他引:1  
研究了在经济代理人通过不可逆退休时间选择来调整劳动时间框架下的最优消费和投资问题,主要考虑风险资产派发红利的情形.运用随机控制方法,求解使得消费-闲暇预期效用最大化的最优策略.最优投资组合及最优退休时刻表明,代理人在为提前退休积累财富的同时,也能最佳享受消费和闲暇所带来的快乐.  相似文献   

2.
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   

3.
张玲 《经济数学》2014,(2):23-28
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   

4.
本文假设投资者是风险厌恶型,用CVaR作为测量投资组合风险的方法.在预算约束的条件下,以最小化CVaR为目标函数,建立了带有交易费用的投资组合模型.将模型转化为两阶段补偿随机优化模型,构造了求解模型的随机L-S算法.为了验证算法的有效性,用中国证券市场中的股票进行数值试验,得到了最优投资组合、VaR和CVaR的值.而且对比分析了有交易费和没有交易费的最优投资组合的不同,给出了相应的有效前沿.  相似文献   

5.
本文研究基于随机基准的最优投资组合选择问题. 假设投资者可以投资于一种无风险资产和一种风险股票,并且选择某一基准作为目标. 基准是随机的, 并且与风险股票相关. 投资者选择最优的投资组合策略使得终端期望绝对财富和基于基准的相对财富效用最大. 首先, 利用动态规划原理建立相应的HJB方程, 并在幂效用函数下,得到最优投资组合策略和值函数的显示表达式. 然后,分析相对业绩对投资者最优投资组合策略和值函数的影响. 最后, 通过数值计算给出了最优投资组合策略和效用损益与模型主要参数之间的关系.  相似文献   

6.
模糊投资组合选择问题是在基本投资组合模型中引入模糊集理论,使所建立的模型与实际市场更加吻合,但同时也增加了模型求解难度.因此,本文针对两种不同的模糊投资组合模型,提出一种改进帝企鹅优化算法.算法首先引入可行性准则,处理模糊投资组合模型中的约束.其次,算法中加入变异机制,平衡算法的开发和探索能力,引导种群向最优个体收敛.通过对CEC 2006中的13个标准测试问题及两个模糊投资组合问题实例进行数值实验,并与其他群智能优化算法进行结果比较,发现本文所提出的算法具有较好的优化性能,并且对于求解模糊投资组合选择问题是有效的.  相似文献   

7.
在常方差弹性(constant elasticity of variance,CEV)模型下考虑了时滞最优投资与比例再保险问题.假设保险公司通过购买比例再保险对保险索赔风险进行管理,并将其财富投资于一个无风险资产和一个风险资产组成的金融市场,其中风险资产的价格过程服从常方差弹性模型.考虑与历史业绩相关的现金流量,保险公司的财富过程由一个时滞随机微分方程刻画,在负指数效用最大化的目标下求解了时滞最优投资与再保险控制问题,分别在投资与再保险和纯投资两种情形下得到最优策略和值函数的解析表达式.最后通过数值算例进一步说明主要参数对最优策略和值函数的影响.  相似文献   

8.
现实的金融市场上,当有重大信息出现时,会对股价产生冲击,使得股价产生跳跃,同时投资过程会有随机资金流的介入,考虑股价出现跳跃与随机资金流介入的投资组合优化问题,通过构造倒向-前向随机微分方程并结合随机最优控制理论研究了一般效用函数下的投资组合选择问题,获得最优投资组合策略,然后针对二次效用函数,给出显式表示的最优投资组合策略.  相似文献   

9.
在常方差弹性(constant elasticity of variance,CEV)模型下考虑了时滞最优投资与比例再保险问题.假设保险公司通过购买比例再保险对保险索赔风险进行管理,并将其财富投资于一个无风险资产和一个风险资产组成的金融市场,其中风险资产的价格过程服从常方差弹性模型.考虑与历史业绩相关的现金流量,保险公司的财富过程由一个时滞随机微分方程刻画,在负指数效用最大化的目标下求解了时滞最优投资与再保险控制问题,分别在投资与再保险和纯投资两种情形下得到最优策略和值函数的解析表达式.最后通过数值算例进一步说明主要参数对最优策略和值函数的影响.  相似文献   

10.
考虑固定收入下具有随机支出风险的家庭最优投资组合决策问题.在假设投资者拥有工资收入的同时将财富投资到一种风险资产和一种无风险资产,其中风险资产的价格服从CEV模型,无风险利率采用Vasicek随机利率模型.当支出过程是随机的且服从跳-扩散风险模型时,运用动态规划的思想建立了使家庭终端财富效用最大化的HJB方程,采用Legendre-对偶变换进行求解,得到最优策略的显示解,并通过敏感性分析进行验证表明,家庭投资需求是弹性方差系数的减函数,解释了家庭流动性财富的增加对最优投资比例呈现边际效用递减趋势.  相似文献   

11.
We study investment problems in a continuous-time setting and conclude that the proper control variables are elasticities to the traded assets or, in the case of stochastic interest rates, (factor) durations. This formulation of a portfolio problem allows us to solve the problems in a kind of two-step procedure: First, by calculating the optimal elasticities and durations we determine the optimal wealth process and then we compute a portfolio process which tracks these elasticities and durations. Our findings are not only interesting in itself, but the approach also proves useful in many varied applications including portfolios with (path-dependent) options. An important application can be the solution of portfolio problems with defaultable bonds modelled by a firm value approach.  相似文献   

12.
ABSTRACT

This paper studies partially observed risk-sensitive optimal control problems with correlated noises between the system and the observation. It is assumed that the state process is governed by a continuous-time Markov regime-switching jump-diffusion process and the cost functional is of an exponential-of-integral type. By virtue of a classical spike variational approach, we obtain two general maximum principles for the aforementioned problems. Moreover, under certain convexity assumptions on both the control domain and the Hamiltonian, we give a sufficient condition for the optimality. For illustration, a linear-quadratic risk-sensitive control problem is proposed and solved using the main results. As a natural deduction, a fully observed risk-sensitive maximum principle is also obtained and applied to study a risk-sensitive portfolio optimization problem. Closed-form expressions for both the optimal portfolio and the corresponding optimal cost functional are obtained.  相似文献   

13.
针对跳扩散模型中的优化与均衡问题,利用鞅方法和随机点过程理论,建立了跳扩散模型下的均衡市场,分析了市场中的财富优化问题,给出了均衡大宗商品现货价格、最优财富过程、最优投资组合及最优消费过程.  相似文献   

14.
This paper revisits the subject of Taylor series approximations to expected utility and investigates the applicability of the technique to optimal portfolio choice problems. We first provide conditions under which the approximate expected utility of a given portfolio converges to its exact counterpart. We then extend the analysis to the optimal portfolio choice setting and provide conditions on the distribution of asset returns under which the solution to the approximate portfolio choice problem converges to its exact counterpart. Finally, we show that, when asset returns are skewed, one can improve the precision and efficiency of the Taylor expansion by applying a simple nonlinear transformation to asset returns designed to symmetrize the transformed return distribution and shrink its support.  相似文献   

15.
Asset liability matching remains an important topic in life insurance research. The objective of this paper is to find an optimal asset allocation for a general portfolio of life insurance policies. Using a multi-asset model to investigate the optimal asset allocation of life insurance reserves, this study obtains formulae for the first two moments of the accumulated asset value. These formulae enable the analysis of portfolio problems and a first approximation of optimal investment strategies. This research provides a new perspective for solving both single-period and multiperiod asset allocation problems in application to life insurance policies. The authors obtain an efficient frontier in the case of single-period method; for the multiperiod method, the optimal asset allocation strategies can differ considerably for different portfolio structures.  相似文献   

16.
股票市场是一个高风险市场,如何在频繁发生的极端波动环境下进行有效的资产分配是当前热点问题。本文首次应用VaR模型构建股市风险网络,并基于风险网络模型进行最优投资组合成分选择,分析不同市场波动行情下最优资产分配权重和股票中心性的时变关系,融合风险网络时变中心性和个股表现提出新的动态资产分配策略(φ投资策略)。结果表明:在股市上涨和震荡期,股票中心性和最优投资组合权重呈正相关关系;股市下跌期,股票中心性和最优投资组合权重呈负相关关系;当φ>0.05时,投资者的合理投资区域向高中心性节点移动,反之。φ投资策略的绩效表现证明了风险网络结构能提高投资组合选择过程。此研究对于优化资产配置、提高投资收益、多元化分散投资风险具有重要意义。  相似文献   

17.
The mean-variance portfolio models indicate that for optimal investment decisions, the ‘true’ ex-ante values of the model parameters should be used. Instead, in practice, ex-post parameter estimates are used. If in the estimation process, the probability distribution of estimators is not known, there is a problem of estimation risk. This paper investigates the impact of estimation risk on the composition of optimal portfolios. As the multivariance distribution of the vector of optimal portfolio weights allocated to risky assets is analytically intractable, a use of the Monte Carlo simulation experimental is made. This study suggests that the composition of optimal portfolio is relatively more stable when the estimates of model parameters are obtained from longer series of historical observations or the expected portfolio return is low.  相似文献   

18.
This paper deals with two problems of optimal portfolio strategies in continuous time. The first one studies the optimal behavior of a firm who is forced to withdraw funds continuously at a fixed rate per unit time. The second one considers a firm that is faced with an uncontrollable stochastic cash flow, or random risk process. We assume the firm’s income can be obtained only from the investment in two assets: a risky asset (e.g., stock) and a riskless asset (e.g., bond). Therefore, the firm’s wealth follows a stochastic process. When the wealth is lower than certain legal level, the firm goes bankrupt. Thus how to invest in the fundamental problem of the firm in order to avoid bankruptcy. Under the case of different lending and borrowing rates, we obtain the optimal portfolio strategies for some reasonable objective functions that are the piecewise linear functions of the firm’s current wealth and present some interesting proofs for the conclusions. The optimal policies are easy to be operated for any relevant investor.  相似文献   

19.
Some new portfolio optimization models are formulated by adopting the sample median instead of the sample mean as the investment efficiency measure. The median is a robust statistic, which is less affected by outliers than the mean, and in portfolio models this is particularly relevant as data are often characterized by attributes such as skewness, fat tails and jumps, which may strongly bias the mean estimate. As in mean/variance optimization, the portfolio problems are formulated as finding the optimal weights, for example, wealth allocation, which maximize the portfolio median, with risk constrained by some risk measure, respectively, the Value-at-Risk, the Conditional Value-at-Risk, the Mean Absolute Deviation and the Maximum Loss, for a whole of four different models. All these models are formulated as mixed integer linear programming problems, which, at least for moderate sized problems, are efficiently solved by standard software. Models are tested on real financial data, compared to some benchmark portfolios, and found to give good results in terms of realized profits. An important feature is greater portfolio diversification than that obtained with other portfolio models.  相似文献   

20.
Portfolio optimization with linear and fixed transaction costs   总被引:1,自引:0,他引:1  
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with transaction costs that include a fixed fee, or discount breakpoints, cannot be directly solved by convex optimization. We describe a relaxation method which yields an easily computable upper bound via convex optimization. We also describe a heuristic method for finding a suboptimal portfolio, which is based on solving a small number of convex optimization problems (and hence can be done efficiently). Thus, we produce a suboptimal solution, and also an upper bound on the optimal solution. Numerical experiments suggest that for practical problems the gap between the two is small, even for large problems involving hundreds of assets. The same approach can be used for related problems, such as that of tracking an index with a portfolio consisting of a small number of assets.  相似文献   

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