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A class of portfolio selection with a four-factor futures price model

文献类型：期刊论文

作者Yan, Wei1,2; Li, Shurong2
刊名ANNALS OF OPERATIONS RESEARCH
出版日期2008-11-01
卷号164期号:1页码:139-165
关键词Four-factor model Multi-period semi-variance portfolio Exchange rate Futures Numerical algorithm
ISSN号0254-5330
DOI10.1007/s10479-008-0398-y
英文摘要Considering the stochastic exchange rate, a four-factor futures model with the underling asset, convenience yield, instantaneous risk free interest rate and exchange rate, is established. These processes follow jump-diffusion processes (Weiner process and Poisson process). The corresponding partial differential equation (PDE) of the futures price is derived. The general solution of the PDE with parameters is drawn. The weight least squares approach is applied to obtain the parameters of above PDE. Variance is substituted by semi-variance in Markowitzs portfolio selection model. Therefore, a class of multi-period semi-variance model is formulated originally. Then, a continuous-time mean-variance portfolio model is also considered. The corresponding stochastic Hamilton-Jacobi-Bellman (HJB) equation of the problem with nonlinear constraints is derived. A numerical algorithm is proposed for finding the optimal solution in this paper. Finally, in order to demonstrate the effectiveness of the theoretical models and numerical methods, the fuel futures in Shanghai exchange market and the Brent crude oil futures in London exchange market are selected to be examples.
WOS研究方向Operations Research & Management Science
语种英语
WOS记录号WOS:000261937900012
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/5669]  
专题中国科学院数学与系统科学研究院
通讯作者Yan, Wei
作者单位1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
2.China Univ Petr, Coll Informat & Control Engn, Dongying Shandong 257061, Peoples R China
推荐引用方式
GB/T 7714		 Yan, Wei,Li, Shurong. A class of portfolio selection with a four-factor futures price model[J]. ANNALS OF OPERATIONS RESEARCH,2008,164(1):139-165.
APA Yan, Wei,&Li, Shurong.(2008).A class of portfolio selection with a four-factor futures price model.ANNALS OF OPERATIONS RESEARCH,164(1),139-165.
MLA Yan, Wei,et al."A class of portfolio selection with a four-factor futures price model".ANNALS OF OPERATIONS RESEARCH 164.1(2008):139-165.

入库方式： OAI收割

来源：数学与系统科学研究院

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