| 推广的半绝对离差和动态投资组合选择 |
| |
| 引用本文： | 郭福华,邓飞其.推广的半绝对离差和动态投资组合选择[J].应用数学,2007,20(3):446-451. |
| |
| 作者姓名： | 郭福华 邓飞其 |
| |
| 作者单位： | 华南理工大学系统工程研究所,广东,广州,510640 |
| |
| 基金项目： | 国家自然科学基金;广东省自然科学基金 |
| |
| 摘 要： | 在标准的Black－Scholes型金融市场下，建立了以推广的半绝对离差（Extended Semi－Absolute Deviation；ESAD）度量风险的动态均值-ESAD投资组合选择模型，研究了模型的求解方法，得到了最优投资组合策略和均值-ESAD有效前沿的解析表达式．同时，与动态均值-方差模型作了比较分析．最后，结合实例说明了模型的求解方法．
|
| 关 键 词： | 动态投资组合 有效前沿 |
| 文章编号： | 1001-9847（2007）03-0446-06 |
| 修稿时间： | 2006-05-08 |
Extended Semi A.D and Dynamic Portfolio Selection |
| |
| GUO Fu-hua,DENG Fei-qi.Extended Semi A.D and Dynamic Portfolio Selection[J].Mathematica Applicata,2007,20(3):446-451. |
| |
| Authors: | GUO Fu-hua DENG Fei-qi |
| |
| Institution: | Institute of Systems Engineering, South China University of Tech . , Guangzhou 510640, China |
| |
| Abstract: | In the standard Black-Scholes type financial market,dynamic Mean-ESAD portfolio selection model,which measures the portfolio risk by extended semi-absolute deviation(ESAD),is established and the method of solving this model is researched.Explicit expressions for optimal investment strategy and Mean-ESAD efficient frontier are obtained.Meanwhile,comparative analysis between dynamic Mean-Variance model and Mean-ESAD model is made.Finally,the method of solving this model is illustrated by a numerical example. |
| |
| Keywords: | Semi A D ESAD |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
