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Continuous-time mean-risk portfolio selection

文献类型：期刊论文

作者Jin, HQ; Yan, HA; Zhou, XY
刊名ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
出版日期2005
卷号41期号:3页码:559-580
关键词mean-downside-risk mean-semivariance portfolio selection weighted mean-variance
ISSN号0246-0203
DOI10.1016/j.anihpb.2004.09.009
英文摘要This paper is concerned with continuous-time portfolio selection models in a complete market where the objective is to minimize the risk subject to a prescribed expected payoff at the terminal time. The risk is measured by the expectation of a certain function of the deviation of the terminal payoff from its mean. First of all, a model where the risk has different weights on the upside and downside variance is solved explicitly. The limit of this weighted mean-variance problem, as the weight on the upside variance goes to zero, is the mean-semivariance model which is shown to admit no optimal solution. This negative result is further generalized to a mean-downside-risk portfolio selection problem where the risk has nonzero value only when the terminal payoff is lower than its mean. Finally, a general model is investigated where the risk function is convex. Sufficient and necessary conditions for the existence of optimal portfolios are given. Moreover, optimal portfolios are obtained when they do exist. The solution is based on completely solving certain static, constrained optimization problems of random variables. (c) 2005 Elsevier SAS. All rights reserved.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000229277300015
出版者GAUTHIER-VILLARS/EDITIONS ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/1681]  
专题中国科学院数学与系统科学研究院
通讯作者Jin, HQ
作者单位1.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
2.Chinese Acad Sci, Acad Math Syst Sci, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 Jin, HQ,Yan, HA,Zhou, XY. Continuous-time mean-risk portfolio selection[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,2005,41(3):559-580.
APA Jin, HQ,Yan, HA,&Zhou, XY.(2005).Continuous-time mean-risk portfolio selection.ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,41(3),559-580.
MLA Jin, HQ,et al."Continuous-time mean-risk portfolio selection".ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES 41.3(2005):559-580.

入库方式： OAI收割

来源：数学与系统科学研究院

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