基于控制损失的动态投资模型研究

发布时间：2018-05-10 09:23

本文选题：期权定价 + 鞅　；参考：《西南财经大学》2013年硕士论文

【摘要】：本文研究了动态投资组合模型中控制风险的一些问题。本文将投资过程中有可能产生的最差结果所带来的负面效用加入到投资者最终的目标效用函数中,并在此模型上进行优化投资。此时该投资组合模型的最优化求解问题等价于一个以市场主要资产组成的共同基金为标的资产的欧式期权对冲组合的定价问题。本文在资产的价格服从多变量的几何布朗运动时采用双曲绝对风险厌恶函数作为最终的目标效用函数,使用布莱克-斯科尔斯公式得到了该模型的一个闭解。通过本文的分析同时也提供了一种用期权定价模型来解决投资问题的思路。
[Abstract]:In this paper, we study some problems of risk control in dynamic portfolio model. In this paper, the negative utility caused by the worst possible result in the investment process is added to the ultimate objective utility function of the investor, and the investment is optimized on this model. In this case, the optimization problem of the portfolio model is equivalent to the pricing problem of a European option hedge portfolio with the underlying assets of a mutual fund composed of the main assets of the market. In this paper, the hyperbolic absolute risk aversion function is used as the ultimate objective utility function for the price of assets from the multivariable geometric Brownian motion. A closed solution of the model is obtained by using the Black-Scholes formula. Through the analysis of this paper, we also provide an option pricing model to solve the investment problem.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224

【共引文献】