Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
文献类型：期刊论文
| 作者 | Yan, Wei1,2; Li, Shurong2 |
| 刊名 | INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
 |
| 出版日期 | 2009 |
| 卷号 | 40期号:11页码:1139-1148 |
| 关键词 | four-factor model multi-period semi-variance portfolio exchange rate futures hybrid GA with PSO economic systems finance partial differential equations genetic algorithms |
| ISSN号 | 0020-7721 |
| DOI | 10.1080/00207720902985385 |
| 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) with terminal boundary condition of the model is drawn. The general solution with parameters of the above PDE is derived. The parameters are estimated by using the weight least squares approach with historical data for special cases. For the objective of risk assessment, downside risk has impacted on the practitioner's view of risk apparently. Variance is substituted by semi-variance. Moreover, one period portfolio selection is extended to multi-period. A class of multi-period semi-variance model is formulated. A hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. Finally, in order to demonstrate the effectiveness of the theoretical models and numerical methods, fuel futures in the Shanghai exchange market is selected to be an example. |
| WOS研究方向 | Automation & Control Systems ; Computer Science ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000271614300004 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/7049]  |
| 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, Key Lab Math Mechanizat, Beijing 100190, Peoples R China 2.China Univ Petr, Coll Informat & Control Engn, Dongying 257061, Shandong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yan, Wei,Li, Shurong. Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2009,40(11):1139-1148. |
| APA | Yan, Wei,&Li, Shurong.(2009).Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,40(11),1139-1148. |
| MLA | Yan, Wei,et al."Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 40.11(2009):1139-1148. |
入库方式： OAI收割
来源：数学与系统科学研究院
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