کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4635636 | 1340713 | 2007 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multi-period optimization portfolio with bankruptcy control in stochastic market
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Multi-period optimization portfolio with bankruptcy control in stochastic market Multi-period optimization portfolio with bankruptcy control in stochastic market](/preview/png/4635636.png)
چکیده انگلیسی
A multi-period mean-variance portfolio selection model imposed by a bankruptcy constraint in a stochastic market is considered. The random returns of risky assets all depend on the state of the stochastic market, which is assumed to follow a Markov chain. Then a solution scheme is developed: dynamic programming is used to solve an auxiliary problem that, in turn, is manipulated to derive an optimal portfolio policy. Finally, simulation analysis is provided for the proposed model with or without bankruptcy constraint. The investment policy generated via the model can help investors not only achieve an optimal return in the sense of mean-variance tradeoff, but also have a good risk control over bankruptcy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 186, Issue 1, 1 March 2007, Pages 414–425
Journal: Applied Mathematics and Computation - Volume 186, Issue 1, 1 March 2007, Pages 414–425
نویسندگان
Shu-zhi Wei, Zhong-xing Ye,