CVaR限制下的动态最优投资组合策略被引量：2

下载PDF

导出

摘要本文在经典的Matkowitz投资组合策略选择的框架下,用CVaR代替了方差作为风险测度,在Black-Scholes模型下,用几何布朗运动来刻画股票价格过程,得出均值-CVaR模型下的动态最优策略和有效前沿边界。

作者衡传杰郭文旌

机构地区南京财经大学

出处《金融经济（下半月）》 2010年第5期90-91,共2页

关键词 CVAR BLACK-SCHOLES 模型自融资策略动态组合最优

参考文献5

1Merton R C.Optimum consumption and portfolio rules in a continuous-time model[].Journal of Econometrics.1971
2Artzner P,Delbaen F,Eber JM,et al.Coherent Measures of Risk[].Mathematical Finance.1999
3Jorion P.Value at risk: the new benchmark for controlling market risk[]..1997
4Li D,Ng W L.Optimal dynamic portfolio selection: multiperiod mean-variance formulation[].Mathematical Finance.2000
5S.Emmer and C.keuppelbeyg.Optimal portfolio with bounded capital at risk[].Mathematica Finance.2001

1BODIE Z, MERTON R C, SAMUELSON W F. Labor supply flexibility and portfolio choice in a life cycle model[J]. J Econ Dyn Control, 1992, 16(3/4): 427-449.
2KWAK M, SHINB Y H, CHOI U J. Optimal portfolio- consumption and retirement decision under a preference change[J]. J Math AnalAppl, 2009, 355(2).- 527-540.
3MUNK C. Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences[ J]. J Econ Dyn Control, 2008, 32(3): 3560-3589.
4DYBVIG P H, IAU H. Lifetime consumption and investment: Retirement and constrained borrowing [J]. J Econ Theory, 2010, 145(3): 885-907.
5KARATZAS I, SHREVE S E. Methods of mathematical finance [M] New York: Springer, 1998.
6Black F;Scholes M.The Pricing of Options and Corporate Liabilities,1973.
7John C Hull.Options futures and other derivative se-curities,2002.
8Chan K C.On the contrarian investment strategyJournal of Business,1988.
9苏凯,费为银,朱永王.考虑红利支付与提前退休的最优投资组合[J].应用数学与计算数学学报,2012,26(1):77-84. 被引量：5
10朱永王,费为银,苏凯.带有习惯形成的最优消费-投资与闲暇选择问题[J].南京信息工程大学学报（自然科学版）,2012,4(5):476-480. 被引量：4

金融经济（下半月）

2010年第5期

内容加载中请稍等...