有资助的消费和最终资产的效用最大化

本文主要讨论带有随机资助过程的消费和终端财富效用最大化问题 .当对偶域为 (L∞) 时 ,利用对偶方法 ,求得问题的最优解对().     

Convergence of Utility Indifference Prices to the Superreplication Price: the Whole Real Line Case

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the whole real line. Under suitable conditions we prove that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price. We also prove that there exists an accumulation point of the optimal strategies’ sequence which is a superhedging strategy.     

Convergence of Utility Indifference Prices to the Superreplication Price

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge to its superreplication price when the investors’ absolute risk-aversion tends to infinity.     

风险分散与通胀保护视角下商品期货的组合投资价值分析

本文基于风险分散与通胀保护视角,通过构建DCC-MVGARCH模型与通胀保护回归模型,对我国铜、铝、豆粕和天然橡胶等四种商品期货的组合投资价值进行了实证检验。结果显示:测度商品期货风险分散功能的条件相关系数具有时变性,除豆粕外,铜、铝、天然橡胶等商品期货与股票的相关性出现了系统性的上升,而四种商品期货与债券则始终保持着低相关性;在通胀保护层面,四种商品期货均能提供通胀保护,但人民币汇率因素干扰了铝、铜和天然橡胶对未预期通胀的反映。研究结果为揭示商品期货的风险特质以及呈现商品期货收益率与宏观经济因素的关系提供了新的研究线索。     

马尔科夫调节风险模型下的最优投资策略:最大化终端效用

本文用跳-扩散模型模拟保险公司的盈余过程,并允许该盈余在由1个无风险资产和N个风险资产组成的金融市场上进行投资.盈余过程和资产价格过程模型中的参数皆受到一个可观察的有限状态连续马尔科夫过程的影响.为了最大化终端效用,我们寻找最优的投资策略,借助HJB方程等工具问题得到解决.当公司的效用函数为指数型时,我们给出了最优投资策略与其对应的值函数的显示表达式,以及相关的经济解释.Browne (1995)和Yang和Zhang (2005)的一些结论得到推广.     

Multiperiod Portfolio Optimization with Terminal Liability: Bounds for the Convex Case

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the future liabilities. We formulate the problem as a discrete-time stochastic optimization model and allow asset prices to have continuous probability distributions on compact domains. For the case of Markovian price uncertainty and convex terminal liability, we develop a simplicial approximation, under which bounds on the problem can be computed efficiently. Computations only require evaluating a dynamic programming recursion, which thus, allows its application to problems with a large number of trading periods. The bounds are tight in that they are exact in certain cases. Numerical results are given to demonstrate the computational efficiency of the procedure.     

具有一般效用函数与允许卖空的资本市场中均衡价格向量的存在性与唯一性

对有有限多个其效用函数为一般凹函数的投资者参与的资本市场，在假设风险资产收益的联合分布为椭圆分布之下，通过考虑期望效用最大化问题，我们导出了使市场出清的均衡价格向量存在唯一的条件及其计算公式，并简要讨论了所给条件的经济意义，所得结果推广了有关资产市场均衡分析的某些结果。     

一类投资组合选择的线性规划方法研究

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.     

Clifford 分析中超正则函数向量的一个边值问题

By the Plemelj formula and the compressed fixed point theorem,this paper discusses a kind of boundary value problem for hypermonogenic function vectors in Clifford analysis.And the paper proves the existence and uniqueness of the solution to the boundary value problem for hypermonogenic function vectors in Clifford analysis.     

集值映射向量优化的一个必要条件

本文在局部凸拓扑向量空间中得到了如下集值映射向量优化：ｍｉｎＦ（ｘ）ｓ．ｔ．Ｇ（ｘ）(（－Ｋ_１）,０∈Ｈ（ｘ）的必要条件即 Ｆｒｉｔｚ Ｊｏｈｎ条件．