Markowitz's portfolio optimization in an incomplete market
文献类型：期刊论文
| 作者 | Xia, JM ; Yan, JA
|
| 刊名 | MATHEMATICAL FINANCE
 |
| 出版日期 | 2006 |
| 卷号 | 16期号:1页码:203-216 |
| 关键词 | mean-variance portfolios convex duality signed martingale measures attainable claims Levy processes |
| ISSN号 | 0960-1627 |
| 英文摘要 | In this paper, for a process S, we establish a duality relation between K-p, the L-p(P)-closure of the space of claims in L-p(P), which are attainable by "simple" strategies, and M-q,M-s, all signed martingale measures Q with (dQ)/(dP) is an element of L-q(p), where p >= 1, q >= 1 1 and (1)/(p) + (1)/(q) = 1. If there exists a Q is an element of M-q,M-s with (dQ)/(dP) > 0 a.s., then K-p consists precisely of the random variables integral(0)(T) theta dS such that theta is predictable S-integrable and dE[dQ/dP integral(0)(T) theta dS] = 0 for all Q is an element of M-q,M-s. The duality relation corresponding to the case p = q = 2 is used to investigate the Markowitz's problem of mean-variance portfolio optimization in an incomplete market of semimartingale model via martingale/convex duality method. The duality relationship between the mean-variance efficient portfolios and the variance-optimal signed martingale measure (VSMM) is established. It turns out that the so-called market price of risk is just the standard deviation of the VSMM. An illustrative example of application to a geometric Levy processes model is also given. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000235136300012 |
| 出版者 | BLACKWELL PUBLISHING |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2991]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Yan, JA |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Ctr Financial Engn & Risk Management, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, JM,Yan, JA. Markowitz's portfolio optimization in an incomplete market[J]. MATHEMATICAL FINANCE,2006,16(1):203-216. |
| APA | Xia, JM,&Yan, JA.(2006).Markowitz's portfolio optimization in an incomplete market.MATHEMATICAL FINANCE,16(1),203-216. |
| MLA | Xia, JM,et al."Markowitz's portfolio optimization in an incomplete market".MATHEMATICAL FINANCE 16.1(2006):203-216. |
入库方式： OAI收割
来源：数学与系统科学研究院
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