排序方式: 共有97条查询结果,搜索用时 15 毫秒
1.
Paolo Battocchio Francesco Menoncin Olivier Scaillet 《Annals of Operations Research》2007,152(1):141-165
In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected
CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation
problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the
first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately,
and outsourcing of allocation decisions should be avoided in both phases.
JEL: G23, G11
MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20 相似文献
2.
构建基金智能客服情绪安抚算法,增加人性化设计以有效提升客户使用体验。由基于OCC模型的情绪粗粒度分类得到有负面情感的文本信息,对该文本信息进行相关处理,而后基于SVM模型进行情绪细粒度分类,得到文本的负面情绪类别并在囊括专业知识和情绪应答的基金领域知识库中匹配答案和情绪应答语句,将查询结果展示给客户。 相似文献
3.
利用破产理论和随机控制理论研究保险基金最优投资策略,建立生存概率最大化的目标函数,得到最优投资策略满足的随机微分方程;在初始金逼近0时得到保险基金的最优投资策略的显示解;采用递推算法,得到初始准备金为任意值时的最优投资策略. 相似文献
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5.
Daniel Chiew Judy Qiu Sirimon Treepongkaruna Jiping Yang Chenxiao Shi 《Entropy (Basel, Switzerland)》2021,23(4)
Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals. 相似文献
6.
This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic risk cannot be eliminated, we also find evidence of seasonality in all fund categories. Specifically, we find a close relation between the seasonality and the end of the tax-year. We document that the idiosyncratic risk puzzle cannot explain seasonality in fund performance in the UK. Although, we do find that idiosyncratic risk can account for the seasonality in the month of April. Thus, the results show a link between the tax-loss selling hypothesis in April and idiosyncratic risk in that month. Finally, we report evidence that idiosyncratic risk is negatively related to expected returns for most fund classes. 相似文献
7.
In defined benefit pension plans, allowances are independent from the financial performance of the fund. And the sponsoring firm pays regularly contributions to limit deviations of fund assets from the mathematical reserve, necessary for covering the promised liabilities. This research paper proposes a method to optimize the timing and size of contributions, in a regime switching economy. The model takes into consideration important market frictions, like transactions costs, late payments and illiquidity. The problem is solved numerically using dynamic programming and impulse control techniques. Our approach is based on parallel grids, with trinomial links, discretizing the asset return in each economic regime. 相似文献
8.
基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用GARCH-M模型进行研究,系统地分析我国不同类型的开放式基金的投资风险.实证分析表明:GARCH-M模型对中证开放式基金指数周收益率的拟合效果较好,并为预测我国开放式基金的投资风险提供了科学依据. 相似文献
9.
R. W. Frei M. W. F. Nielen U. A.Th. Brinkman 《International journal of environmental analytical chemistry》2013,93(1-3):3-35
Abstract Sample handling is still a weak point in chromatography and in analytical chemisty in general. One consideration is the automation potential of new procedures. Solid-liquid extraction techniques in combination with pre-column technology are particularly promising in this regards. The construction and geometry of pre-columns both for conventional and narrow-bore HPLC are of major importance, since band broadening should be kept at a minimum for an optimal functioning of the analytical system. The various operations that can be carried out with such a pre-column are trace-enrichment, clean-up of the sample which depends on the type of adsorbents used in the precolumn, i.e., polar or apolar materials, ion exchangers or metal covered surfaces, etc., protection of the analytical column, field sampling and storage of samples and as a substrate for on-column chemical derivatizations. These various operations are demonstrated with practical examples from the fields of environmental and biological analysis. The selectivity can be further enhanced by coupling precolumn technology with selective detection modes such as diode array UV, electrochemical or fluorescence detection. This enables the construction of optimal and integrated analysis sytems which are fully automated and microprocessor controlled. They can also be made compatible with miniaturized LC-technology. 相似文献
10.
经受了全球金融危机的冲击,各国尤其是发达国家都非常重视宽带的发展。同时,危机也重新唤起了人们对政府有效监管的重视,对国家适时进行干预的必要性有了更加明确的认识。目前来看,FTTx是未来宽带接入的重要技术选择,也是经济增长的热点。政府则会通过直接和间接资金投入以及政策和措施等各种方式,对宽带发展进行资助和扶持。 相似文献