Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection

doi:10.1080/00207720902985385

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	Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
	Yan, Wei 1,2; Li, Shurong 2
	2009
发表期刊	INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
ISSN	0020-7721
卷号	40 期号:11 页码:1139-1148
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) with terminal boundary condition of the model is drawn. The general solution with parameters of the above PDE is derived. The parameters are estimated by using the weight least squares approach with historical data for special cases. For the objective of risk assessment, downside risk has impacted on the practitioner's view of risk apparently. Variance is substituted by semi-variance. Moreover, one period portfolio selection is extended to multi-period. A class of multi-period semi-variance model is formulated. A hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. Finally, in order to demonstrate the effectiveness of the theoretical models and numerical methods, fuel futures in the Shanghai exchange market is selected to be an example.
关键词	four-factor model multi-period semi-variance portfolio exchange rate futures hybrid GA with PSO economic systems finance partial differential equations genetic algorithms
DOI	10.1080/00207720902985385
语种	英语
WOS研究方向	Automation & Control Systems ; Computer Science ; Operations Research & Management Science
WOS类目	Automation & Control Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science
WOS记录号	WOS:000271614300004
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7050
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, Key Lab Math Mechanizat, Beijing 100190, Peoples R China 2.China Univ Petr, Coll Informat & Control Engn, Dongying 257061, Shandong, Peoples R China
推荐引用方式 GB/T 7714	Yan, Wei,Li, Shurong. Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2009,40(11):1139-1148.
APA	Yan, Wei,&Li, Shurong.(2009).Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,40(11),1139-1148.
MLA	Yan, Wei,et al."Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 40.11(2009):1139-1148.