| 一个风险值约束下的连续时间最优投资组合 |
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| 引用本文： | 胡华. 一个风险值约束下的连续时间最优投资组合[J]. 安徽大学学报(自然科学版), 2007, 31(5): 9-11. DOI: 10.3969/j.issn.1000-2162.2007.05.003 |
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| 作者姓名： | 胡华 |
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| 作者单位： | 宁夏大学,数学计算机学院,宁夏,银川750021 |
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| 基金项目： | 国家自然科学基金资助项目(60663003)，上海市科委重点基金资助项目(02DJ14063) |
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| 摘 要： | 考察当存在一个风险约束时的连续时间的最优投资组合问题,提供最优投资组合中控制风险的一种方法和实践管理者对市场风险控制的必要条件.一个风险约束是指由n个风险资产加上一个无风险资产且风险随时间是连续的,问题化为一段时间内约束效用最大化问题.利用动态规划技巧推导Hamilton-Jacobi-Bellman方程,且利用Lagrange乘子法处理约束条件.
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| 关 键 词： | 最优投资组合 风险值 动态规划 连续时间 |
| 文章编号： | 1000-2162（2007）05-0009-03 |
| 收稿时间： | 2007-04-15 |
Continuous-time optimal portfolios under a value-at-risk constraint |
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| HU Hua. Continuous-time optimal portfolios under a value-at-risk constraint[J]. Journal of Anhui University(Natural Sciences), 2007, 31(5): 9-11. DOI: 10.3969/j.issn.1000-2162.2007.05.003 |
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| Authors: | HU Hua |
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| Abstract: | This paper looks at the continuous-time optimal portfolio problem when a value-at-risk constraint is imposed.This work provides a way to control risks in the optimal portfolio and to fulfil the requirement of regulators on market risks.The value-at-risk constraint is derived for n risky assets plus a risk-free asset and is imposed continuously over time.The problem is formulated as a constrained utility maximization problem over a period of time.The dynamic programming technique is applied to derive the Hamilton Jacobi Bellman equation and the method of Lagrange multiplier is used to tackle the constraint. |
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| Keywords: | optimal portfolio value-at-risk dynamic programming continuous-time |
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