| 均值方差偏好和期望损失风险约束下的动态投资组合 |
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| 引用本文： | 王秀国,王义东.均值方差偏好和期望损失风险约束下的动态投资组合[J].数理统计与管理,2012,31(3):455-463. |
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| 作者姓名： | 王秀国 王义东 |
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| 作者单位： | 中央财经大学应用数学学院,北京,100081 |
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| 基金项目： | 国家自然科学基金(70901079);中央财经大学科研创新团队支持计划资助 |
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| 摘 要： | 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。
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| 关 键 词： | 动态投资组合 均值方差偏好 期望损失 鞅理论 |
Dynamic Portfolio Selection with Mean Variance Preferences and Expected Loss Risk Constraint |
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| WANG Xiu-guo,WANG Yi-dong.Dynamic Portfolio Selection with Mean Variance Preferences and Expected Loss Risk Constraint[J].Application of Statistics and Management,2012,31(3):455-463. |
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| Authors: | WANG Xiu-guo WANG Yi-dong |
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| Institution: | (School of Applied Mathematics,Central University of Finance and Economics,Beijing 100081,China) |
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| Abstract: | We consider the portfolio selection problem with mean variance preferences and control on downside risk when continuous rebalancing is allowed.Downside risk is defined as expected loss.Using martingale theory and convex duality method,the optimal portfolio wealth and the optimal portfolio strategies are derived explicitly.The results exhibit two-fund separation theorem which include the riskless asset and market portfolio.Finally,we analyze the effects of risk constraint on the optimal strategies. |
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| Keywords: | dynamic portfolio selection mean variance preferences expected loss martingale theory |
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