推广的半绝对离差和动态投资组合选择  

Extended Semi A.D and Dynamic Portfolio Selection

作　　者：郭福华[1] 邓飞其[1] 

机构地区：[1]华南理工大学系统工程研究所,广东广州510640

出　　处：《应用数学》2007年第3期446-451,共6页Mathematica Applicata

基　　金：国家自然科学基金(60274023);广东省自然科学基金(011629)

摘　　要：在标准的Black-Scholes型金融市场下,建立了以推广的半绝对离差(Extended Semi-Absolute Deviation;ESAD)度量风险的动态均值-ESAD投资组合选择模型,研究了模型的求解方法,得到了最优投资组合策略和均值-ESAD有效前沿的解析表达式.同时,与动态均值-方差模型作了比较分析.最后,结合实例说明了模型的求解方法.In the standard Black-Scholes type financial market, dynamic Mean-ESAD portfolio selection model, which measures the portfolio risk by extended semi-absolute deviation （ESAD）,is established and the method of solving this model is researched. Explicit expres- sions for optimal investment strategy and Mean-ESAD efficient frontier are obtained. Meanwhile, comparative analysis between dynamic Mean-Variance model and Mean-ESAD model is made. Finally,the method of solving this model is illustrated by a numerical example .

关 键 词：SEMI A.D ESAD 动态投资组合 有效前沿 

分 类 号：F830[经济管理—金融学] O224[理学—运筹学与控制论]