有风险控制的最优投资组合

Optimal Portfolio With Risk Control

  • 摘要: 本文讨论有风险控制的最优投资组合问题并研究了倍率风险函数及临界风险的性质,最大最小风险的估计;给出了其倍率风险函数有严格解析形式的例子.

     

    Abstract: In this paper, we introduce a model of log-optimal portfolio selection with risk constraint. We study the properties of doubling rate-risk function and critical risk and estimate the the maximal and minimal risks. Examples for which the precisely analytic form of doubling rate-risk function is available are provided.

     

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