Continuous-time mean-variance portfolios: a comparison

In this article, we present and compare three mean-variance optimal portfolio approaches in a continuous-time market setting. These methods are the L ²-projection as presented in Schweizer [M. Schweizer, Approximation of random variables by stochastic integrals, Ann. Prob. 22 (1995), pp. 1536–1575], the Lagrangian function approach of Korn and Trautmann [R. Korn and S. Trautmann, Continuous-time portfolio optimization under terminal wealth constraints, ZOR-Math. Methods Oper. Res. 42 (1995), pp. 69–92] and the direct deterministic approach of Lindberg [C. Lindberg, Portfolio optimization when expected stock returns are determined by exposure to risk, Bernoulli 15 (2009), pp. 464–474]. As the underlying model, we choose the recent innovative market parameterization introduced by Lindberg (2009) that has the particular aim to overcome the estimation problems of the stock price drift parameters. We derive some new results for the Lagrangian function approach, in particular explicit representations for the optimal portfolio process. Further, we compare the different optimization frameworks in detail and highlight their attractive and not so attractive features by numerical examples.     

Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known ε-constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.     

通货膨胀时期的投资策略分析

目前,各个国家面临着不同程度的通贷膨胀.在此情况下,如何规避通货膨胀所带来的财富稀释是现阶段所有投资人追求的目标.本文从投资产品的价格出发给出了两阶段均值-方差投资问题的最优解.分析了交易费用、风险资产的期望回报率以及波动率对投资策略的影响.最后,我们依据实际算例分析为投资者提供指导,并且给出了政策建议.     

Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization

We construct an arbitrage‐free scenario tree reduction model, from which some arbitrage‐free scenario tree reduction algorithms are designed. They ensure that the reduced scenario trees are arbitrage free. Numerical results show the practicality and efficiency of the proposed algorithms. Results for multistage portfolio selection problems demonstrate the necessity and importance for guaranteeing that the reduced scenario trees are arbitrage free, as well as the practicality of the proposed arbitrage‐free scenario tree reduction algorithms for financial optimization.     

含交易费用的证券组合投资模型的满意解

在证券组合投资过程中,忽略交易费用会导致非有效的证券组合投资,本文提出了一个考虑交易费用的证券组合投资的区间数线性规划模型,通过引入区间数线性规划问题中的目标函数优化水平参数λ和约束条件满足水平参数η将目标函数和约束条件均为区间数的区间数线性规划模型转化为确定型的一般线性规划模型,进而求得相应于优化水平λ和满足水平η的满意解.     

基于多维Gumbel Copula函数的投资组合VaR分析

基于目前国内有关Copula函数的实证研究主要是研究二种资产的相关性为主,文章根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上具有的优势,首先利用GJR模型构建资产的边缘分布,接着利用多元阿基米德Copula函数族中的Gumbel Copula函数构建了反映多个资产收益实际分布和相关性的联合分布函数,并使用蒙特卡罗模拟技术,分析在不同置信度下的投资组合的最小风险价值(VaR)及其资产组成,实证说明根据文章提出的模型度量资产的风险,可以使投资者选择的资产更加稳健,同时也有利于投资者对投资组合整体风险进行分散和监管。     

Optimal investment and consumption with stochastic dividends

We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The financial market consists of assets which follow Poisson distributions with known or unknown intensity rates. Two kinds of consumption patterns are defined and the optimality of the myopic strategy, the Gittins index strategy, and the play‐the‐winner strategy are discussed. Copyright © 2009 John Wiley & Sons, Ltd.     

CIR框架下的投资组合效用微分博弈

建立了Cox-Ingersoll—Ross随机利率下的关于两个投资者的投资组合效用微分博弈模型．市场利率具有CIR动力,博弈双方存在唯一的损益函数,损益函数取决于投资者的投资组合财富．一方选择动态投资组合策略以最大化损益函数,而另一方则最小化损益函数．运用随机控制理论,在一般的效用函数下得到了基于效用的博弈双方的最优策略．特别考虑了常数相对风险厌恶情形,获得了显示的最优投资组合策略和博弈值．最后给出了数值例子和仿真结果以说明本文的结论．     

基于Copula的供应链金融质物组合价格风险测度研究

本文选取白银、铝和铜三种供应链金融质物作为研究对象,在分析三种质物收益率统计特征的基础上,引入Copula模型刻画供应链金融业务中质物收益率的“尖峰厚尾”特征以及质物收益率之间的非线性相关结构;采用Monte Carlo模拟方法测度考虑到极端情况下的质物组合价格风险值CVaR;利用时间平方根法则测度长周期视角下质物组合的价格风险。将CVaR与VaR测度结果进行对比,比较分析短期价格风险与长期价格风险,将Copula模型与传统风险测度方法下计算出的风险值进行对比,以期选取最优测度供应链金融质物组合长期价格风险模型。研究结果表明:从单一质物价格波动特征来看,三种单一质物的收益率均存在非正态分布和“尖峰厚尾”特征,具有一般金融资产收益率分布的特点。从模型的有效性来看,第一,CVaR比VaR能够更好地、全面地测度供应链金融质物组合的价格风险;第二,基于Copula模型的风险测度结果比传统集成风险测度结果的准确性高;第三,平方欧式距离法结果表明在五种Copula模型中,t-Copula是最优刻画供应链金融质物组合收益率间的相依关系的模型。从长短期风险测度结果来看,随着风险期限的增加,质物组合的价格风险值随之增大,以往研究中用短期风险测度往往会低估商业银行所面临的价格风险,不利于商业银行资金信贷的优化配置。得到的结论对我国商业银行开展供应链金融业务防范价格风险提供了量化支持。