Continuous-time mean-risk portfolio selection

doi:10.1016/j.anihpb.2004.09.009

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	Continuous-time mean-risk portfolio selection
	Jin, HQ ; Yan, HA ; Zhou, XY
	2005
发表期刊	ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
ISSN	0246-0203
卷号	41 期号:3 页码:559-580
摘要	This paper is concerned with continuous-time portfolio selection models in a complete market where the objective is to minimize the risk subject to a prescribed expected payoff at the terminal time. The risk is measured by the expectation of a certain function of the deviation of the terminal payoff from its mean. First of all, a model where the risk has different weights on the upside and downside variance is solved explicitly. The limit of this weighted mean-variance problem, as the weight on the upside variance goes to zero, is the mean-semivariance model which is shown to admit no optimal solution. This negative result is further generalized to a mean-downside-risk portfolio selection problem where the risk has nonzero value only when the terminal payoff is lower than its mean. Finally, a general model is investigated where the risk function is convex. Sufficient and necessary conditions for the existence of optimal portfolios are given. Moreover, optimal portfolios are obtained when they do exist. The solution is based on completely solving certain static, constrained optimization problems of random variables. (c) 2005 Elsevier SAS. All rights reserved.
关键词	mean-downside-risk mean-semivariance portfolio selection weighted mean-variance
DOI	10.1016/j.anihpb.2004.09.009
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000229277300015
出版者	GAUTHIER-VILLARS/EDITIONS ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1682
专题	中国科学院数学与系统科学研究院
通讯作者	Jin, HQ
作者单位	1.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Jin, HQ,Yan, HA,Zhou, XY. Continuous-time mean-risk portfolio selection[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,2005,41(3):559-580.
APA	Jin, HQ,Yan, HA,&Zhou, XY.(2005).Continuous-time mean-risk portfolio selection.ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,41(3),559-580.
MLA	Jin, HQ,et al."Continuous-time mean-risk portfolio selection".ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES 41.3(2005):559-580.