动态均值-LEL投资组合选择模型

Dynamic Mean-LEL Portfolio Selection Model

运用优化方法研究动态投资组合选择问题.在标准Black-Scholes型金融市场下,以受限期望损失（LEL）度量投资组合的风险,建立了动态均值-LEL投资组合选择模型,得到了最优投资组合策略和均值-LEL有效前沿的显式表达式.最后,结合算例说明了模型的求解方法,并得到以下结论：在相同的期望终端财富和投资组合策略下,在险价值（VaR）约是LEL的2~10倍.

This paper aims at a dynamic portfolio selection problem via the optimization method. Firstly, in the standard Black-Scholes financial market, the dynamic mean-limited expectation loss （LEL） portfolio selection model is established, in which the risk of portfolio is measured by the LEL. Secondly, the explicit expressions for the optimal portfolio strategy and the mean-LEL efficient frontier are obtained. Finally, the method of solving the model is illustrated by a numerical example. It comes to the conclusion that the value at risk （VaR） is about 2 - 10 times that of LEL under the same expected terminal wealth and portfolio strategy.