Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （n...In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （no-shorting）. First, aLagrange multiplier is introduced to simplify the mean-variance problem and thecorresponding Hamilton-Jacobi-Bellman （HJB） equation is established. Via a powertransformation technique and variable change method, the optimal strategies withthe Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem （i.e., the efficientstrategies and efficient frontier） are derived explicitly.展开更多
In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain wit...In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.展开更多
Joint location and scale models of the skew-normal distribution provide useful ex- tension for joint mean and variance models of the normal distribution when the data set under consideration involves asymmetric outcom...Joint location and scale models of the skew-normal distribution provide useful ex- tension for joint mean and variance models of the normal distribution when the data set under consideration involves asymmetric outcomes. This paper focuses on the maximum likelihood estimation of joint location and scale models of the skew-normal distribution. The proposed procedure can simultaneously estimate parameters in the location model and the scale model. Simulation studies and a real example are used to illustrate the proposed methodologies.展开更多
This study aims to reduce the statistical uncertainty of the correlation coefficient matrix in the mean-variance model of Markowitz. A filtering algorithm based on minimum spanning tree （MST） is proposed. Daily data...This study aims to reduce the statistical uncertainty of the correlation coefficient matrix in the mean-variance model of Markowitz. A filtering algorithm based on minimum spanning tree （MST） is proposed. Daily data of the 30 stocks of the Hang Seng Index （HSI） and Dow Jones Index （DJI） from 2004 to 2009 are selected as the base dataset. The proposed algorithm is compared with the Markowitz method in terms of risk, reliability, and effective size of the portfolio. Results show that （1） although the predicted risk of portfolio built with the MST is slightly higher than that of Markowitz, the realized risk of MST filtering algorithm is much smaller; and （2） the reliability and the effective size of filtering algorithm based on MST is apparently better than that of the Markowitz portfolio. Therefore, conclusion is that filtering algorithm based on MST improves the mean-variance model of Markowitz.展开更多
基金supported by the Strategic Priority Research Program of the Chinese Academy of Sciences [grant number XDA20060500]the National Natural Science Foundation of China[grant numbers 41731173 and 42275035]+8 种基金the Natural Science Foundation of Guangdong ProvinceChina [grant number 2022A1515011967]the Science and Technology Program of GuangzhouChina [grant number 202002030492]the Open Fund Project of the Key Laboratory of Marine Environmental Information Technology,the Key Laboratory of Marine Science and Numerical Modeling,Ministry of Natural Resources of the People’s Republic of China [grant number 2020-YB-05]the MEL Visiting Fellowship [grant number MELRS2102]the Independent Research Project Program of the State Key Laboratory of Tropical Oceanography [grant number LTOZZ2005]the Key Special Project for the Introducing Talents Team of the Southern Marine Science and Engineering Guangdong Laboratory (Guangzhou)[grant number GML2019ZD0306]the Innovation Academy of South China Sea Ecology and Environmental Engineering [grant number ISEE2018PY06]
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
基金The NSF(11201111) of ChinaHebei Province Colleges and Universities Science,and Technology Research Project(ZD20131017)
文摘In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （no-shorting）. First, aLagrange multiplier is introduced to simplify the mean-variance problem and thecorresponding Hamilton-Jacobi-Bellman （HJB） equation is established. Via a powertransformation technique and variable change method, the optimal strategies withthe Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem （i.e., the efficientstrategies and efficient frontier） are derived explicitly.
文摘In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.
基金Supported by the National Natural Science Foundation of China(11261025,11201412)the Natural Science Foundation of Yunnan Province(2011FB016)the Program for Middle-aged Backbone Teacher,Yunnan University
文摘Joint location and scale models of the skew-normal distribution provide useful ex- tension for joint mean and variance models of the normal distribution when the data set under consideration involves asymmetric outcomes. This paper focuses on the maximum likelihood estimation of joint location and scale models of the skew-normal distribution. The proposed procedure can simultaneously estimate parameters in the location model and the scale model. Simulation studies and a real example are used to illustrate the proposed methodologies.
基金supported by the funds project under the Ministry of Education of the PRC for young people who are devoted to the researches of humanities and social sciences under Grant No. 09YJC790025
文摘This study aims to reduce the statistical uncertainty of the correlation coefficient matrix in the mean-variance model of Markowitz. A filtering algorithm based on minimum spanning tree （MST） is proposed. Daily data of the 30 stocks of the Hang Seng Index （HSI） and Dow Jones Index （DJI） from 2004 to 2009 are selected as the base dataset. The proposed algorithm is compared with the Markowitz method in terms of risk, reliability, and effective size of the portfolio. Results show that （1） although the predicted risk of portfolio built with the MST is slightly higher than that of Markowitz, the realized risk of MST filtering algorithm is much smaller; and （2） the reliability and the effective size of filtering algorithm based on MST is apparently better than that of the Markowitz portfolio. Therefore, conclusion is that filtering algorithm based on MST improves the mean-variance model of Markowitz.
