KMS Of Academy of mathematics and systems sciences, CAS
| Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection | |
| Yan, Wei1,2; Li, Shurong2 | |
| 2009 | |
| Source Publication | INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
 |
| ISSN | 0020-7721 |
| Volume | 40Issue:11Pages:1139-1148 |
| Abstract | 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. |
| Keyword | 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 |
| Language | 英语 |
| WOS Research Area | Automation & Control Systems ; Computer Science ; Operations Research & Management Science |
| WOS Subject | Automation & Control Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science |
| WOS ID | WOS:000271614300004 |
| Publisher | TAYLOR & FRANCIS LTD |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/7050 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Yan, Wei |
| Affiliation | 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 |
| Recommended Citation 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. |
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