Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation
文献类型：期刊论文
| 作者 | Zhu, SS; Li, D; Wang, SY
|
| 刊名 | IEEE TRANSACTIONS ON AUTOMATIC CONTROL
 |
| 出版日期 | 2004-03-01 |
| 卷号 | 49期号:3页码:447-457 |
| 关键词 | dynamic portfolio selection dynamic programming mean-variance formulation stochastic control |
| ISSN号 | 0018-9286 |
| DOI | 10.1109/TAC.2004.824474 |
| 英文摘要 | For an investor to claim his wealth resulted from his multiperiod portfolio policy, he has to sustain a possibility of bankruptcy before reaching the end of an investment horizon. Risk control over bankruptcy is thus an indispensable ingredient of optimal dynamic portfolio selection. We propose in this note a generalized mean-variance model via which an optimal investment policy can be generated to help investors not only achieve an optimal return in the sense of a mean-variance tradeoff, but also have a good risk control over bankruptcy. One key difficulty in solving the proposed generalized mean-variance model is the nonseparability in the associated stochastic control problem in the sense of dynamic programming. A solution scheme using embedding is developed in this note to overcome this difficulty and to obtain an analytical optimal portfolio policy. |
| WOS研究方向 | Automation & Control Systems ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000220256400013 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/632]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhu, SS |
| 作者单位 | 1.Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China 2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, SS,Li, D,Wang, SY. Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2004,49(3):447-457. |
| APA | Zhu, SS,Li, D,&Wang, SY.(2004).Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,49(3),447-457. |
| MLA | Zhu, SS,et al."Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 49.3(2004):447-457. |
入库方式： OAI收割
来源：数学与系统科学研究院
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