A class of portfolio selection with a four-factor futures price model

doi:10.1007/s10479-008-0398-y

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	A class of portfolio selection with a four-factor futures price model
	Yan, Wei 1,2; Li, Shurong 2
	2008-11-01
发表期刊	ANNALS OF OPERATIONS RESEARCH
ISSN	0254-5330
卷号	164 期号:1 页码:139-165
摘要	Considering the stochastic exchange rate, a four-factor futures model with the underling asset, convenience yield, instantaneous risk free interest rate and exchange rate, is established. These processes follow jump-diffusion processes (Weiner process and Poisson process). The corresponding partial differential equation (PDE) of the futures price is derived. The general solution of the PDE with parameters is drawn. The weight least squares approach is applied to obtain the parameters of above PDE. Variance is substituted by semi-variance in Markowitzs portfolio selection model. Therefore, a class of multi-period semi-variance model is formulated originally. Then, a continuous-time mean-variance portfolio model is also considered. The corresponding stochastic Hamilton-Jacobi-Bellman (HJB) equation of the problem with nonlinear constraints is derived. A numerical algorithm is proposed for finding the optimal solution in this paper. Finally, in order to demonstrate the effectiveness of the theoretical models and numerical methods, the fuel futures in Shanghai exchange market and the Brent crude oil futures in London exchange market are selected to be examples.
关键词	Four-factor model Multi-period semi-variance portfolio Exchange rate Futures Numerical algorithm
DOI	10.1007/s10479-008-0398-y
语种	英语
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000261937900012
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/5670
专题	中国科学院数学与系统科学研究院
通讯作者	Yan, Wei
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.China Univ Petr, Coll Informat & Control Engn, Dongying Shandong 257061, Peoples R China
推荐引用方式 GB/T 7714	Yan, Wei,Li, Shurong. A class of portfolio selection with a four-factor futures price model[J]. ANNALS OF OPERATIONS RESEARCH,2008,164(1):139-165.
APA	Yan, Wei,&Li, Shurong.(2008).A class of portfolio selection with a four-factor futures price model.ANNALS OF OPERATIONS RESEARCH,164(1),139-165.
MLA	Yan, Wei,et al."A class of portfolio selection with a four-factor futures price model".ANNALS OF OPERATIONS RESEARCH 164.1(2008):139-165.