کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1143886 1489612 2012 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Logarithm Utility Maximization Portfolio Engineering with Bankruptcy Control: a Nonparametric Estimation Framework
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Logarithm Utility Maximization Portfolio Engineering with Bankruptcy Control: a Nonparametric Estimation Framework
چکیده انگلیسی

Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical portfolio engineering example based on real data of Chinese stock market is presented.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Systems Engineering Procedia - Volume 5, 2012, Pages 150-155