Telser的安全第一准则下的最优CRP组合投资策略

兰州大学机构库 >数学与统计学院

	Telser的安全第一准则下的最优CRP组合投资策略
Alternative Title	The optimal CRP portfolio investment strategy under Telser's safety-first criterion
	郑珍
Thesis Advisor	牛明飞
	2012-06-02
Degree Grantor	兰州大学
Place of Conferral	兰州
Degree Name	硕士
Keyword	动态组合最优化 Telser的安全第一准则连续时间CRP组合投资策略 Black-Scholes金融市场
Abstract	本文考虑了在Black-Scholes金融市场环境与CRP组合投资策略下的连续时间Telser的安全第一模型的组合最优化问题。本文通过分解可行解集将模型转化为双层最优化问题的方法得到了最优策略与有效边界的显式表达式，在文章的最后用了一个数值例子给出由这个模型所得到的结论的一些经济含义及其应用。
Other Abstract	In this paper, we consider continuous-time Telser’s safety-first type portfolio optimization problem under the setting of Black-Scholes financial markets and the CRP portfolio investment strategy. This model is converted into bi-level optimization problem by virtue of a decomposition of the feasible solution set，as a result, explicit optimal strategy and efficient frontier are obtained in closed-form. In the end, we illustrate some economic implications and applications arising from using this model with a numerical example.
URL	查看原文
Language	中文
Document Type	学位论文
Identifier	https://ir.lzu.edu.cn/handle/262010/225656
Collection	数学与统计学院
Recommended Citation GB/T 7714	郑珍. Telser的安全第一准则下的最优CRP组合投资策略[D]. 兰州. 兰州大学,2012.

Files in This Item:
There are no files associated with this item.

If you have any objections to this item, please fill out the form below and the administrator will contact you as soon as possible.
Content:
Email：	*
Institution:
Verification Code:	Refresh

Any comments and suggestions are welcomed.
Title:	*
Content:
Email：	*
Verification Code:	Refresh

数学与统计学院知识库