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 TitleThe 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 AbstractIn 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
Identifierhttps://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.
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