期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

动态资本注入的最优投资策略

The Optimal Investment Strategy with Dynamic Capital
下载PDF
导出
摘要 企业在维持原有经营过程中,将资金投资到股票市场.以盈余用作投资资本,进行多阶段动态投资.盈余过程由布朗运动刻画,效用函数刻画企业对风险和收益的态度.在效用函数最大的前提下,得到了各投资时刻的最优投资组合.该研究为企业提供了一种切实有效的投资策略. Enterprises in maintaining normal operation invest into the stock market. The surpluses are used as investment capital by multi-stage dynamic investment. The surplus process of the enterprise is depicted by a Brownian motion and the attitude towards risk is depicted by utility function. The optimal investment portfolio at each investment time is obtained un- der the premise that the given utility function is maximum. The research provides a practical and effective investment strate- gy for enterprises.
作者 吴杰 黄冬冬 陈传钟
机构地区 海南师范大学数学与统计学院
出处 《海南师范大学学报（自然科学版）》 CAS 2016年第1期17-21,共5页 Journal of Hainan Normal University（Natural Science）
基金 海南师范大学研究生创新项目(Hsyx2015-39)
关键词 动态投资 布朗运动 效用函数 最优投资组合 dynamic investment Brownian motion utility function optimal investment portfolio
分类号 O224 [理学—运筹学与控制论]
  • 相关文献

参考文献9

  • 1Niederinski A, Mossion J. Optimal Multiperiod Portfolio Polices[J ].Journal of Business,1968,41:215-229.
  • 2Li D. Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation[J ]. Mathematical Finance,2000,10(3):387- 406.
  • 3Albrecher H, Bauerle N, Thonhauser S. Optimal dividend-payout in random discrete time[ J ]. Stat Risk Model,2011,28(3):251- 276.
  • 4Hansjrg Albrecher. Randomized observation periods for the compound Poisson risk model Dividends[ J ]. Astin Bu11,2011,41(2): 645-672.
  • 5Wu H L, Li Z F. Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow[ J ]. Insurance: Mathematics and Economics,2012,50:371-384.
  • 6Li C J, Li Z F. Multi-period portfolio optimization for asset-liability management[ J ]. Appliet Mathematics and Computation, 2012,218:11196-11208.
  • 7Wei S Z, Ye Z X. Multi-period optimization portfolio with bankruptcy control in the stochastic market[ J ]. Applied Mathematics and Computation,2006,7(1): 1-12.
  • 8Albrecher H, Cheung. Randomized observation periods for the compound Poisson risk model dividends[ J ]. Astin Bu11,2006,41 (2): 645-672.
  • 9张鹏,张逸菲.完全市场情况下多阶段均值-VaR投资组合优化[J].武汉科技大学学报,2014,37(4):315-320. 被引量：3

二级参考文献17

  • 1郭丹,徐伟,雷佑铭.机会约束下的均值-VaR组合投资问题[J].系统工程学报,2005,20(3):256-260. 被引量：13
  • 2荣喜民,武丹丹,张奎廷.基于均值-VaR的投资组合最优化[J].数理统计与管理,2005,24(5):96-103. 被引量：23
  • 3安起光,王厚杰.引入无风险证券的均值——VaR投资组合模型研究[J].中国管理科学,2006,14(2):12-15. 被引量：15
  • 4Joseph Twagilimana. Mean-variance model in port folio analysis[D]. Louisville: University of Louis ville, 2002.
  • 5Alexandre G J, Baptisa A M. Economic implica- tions of using a mean-VaR model for portfolio selec- tion: a comparison with mean-variance analysis[J]. Journal of Economic Dynamics and Control, 2002, 26:1159-1193.
  • 6Consigli G. Tail estimation and mean-VaR portfolio selection in markets subject to financial instability [J].Journal of Banking and Finance,2002,26:1355- 1382.
  • 7Li D, Chan T F, Ng W L. Safety-first dynamic portfolio selection [J]. Dynamics of Continuous, Discrete and Impulsive Systems, 1998, 4:585-600.
  • 8Li D, Ng W L. Optimal dynamic portfolio selec- tion, multiperiod mean-variance formulation [J]. Mathematical Finance, 2000,10 : 387-406.
  • 9Zhu Shushang, Li Duan, Wang Shouyang. Risk control over bankruptcy in dynamic portfolio selec- tion: a generalized mean-variance formulation [J]. IEEE Transactions on Automatic Control, 2004, 49 (3) : 447-457.
  • 10Wei Shuzhi, Ye Zhongxing. Multi-period optimiza- tion portfolio with bankruptcy control in stochastic market[J]. Applied Mathematics and Computation, 2006,7:1-12.

共引文献2

海南师范大学学报（自然科学版）
2016年 第1期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部