搜索结果: 1-10 共查到“金融市场 Portfolio”相关记录10条 . 查询时间(0.125 秒)
If there were to be anything mystical in finance then it certainly would be in the realm of derivatives. For many hardened financial professionals the very word conjures images that are horrific enoug...
On utility maximization under convex portfolio constraints
utility-maximization semimartingale financial market predictable convex-set-valued processes
2011/3/23
We consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predi...
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Marking Systemic Portfolio Risk the Correlation Skew of Equity Baskets
2011/1/4
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlatio...
Outperforming the Market Portfolio with a Given Probability
Market Portfolio Given Probability
2010/10/20
Our goal is to resolve a problem proposed by Karatzas and Fernholz (2008): Characterizing the minimum amount of initial capital that would guarantee the investor to beat the market portfolio with a c...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
同济大学现代金融市场概论课件Portfolio Thoery。
A stochastic reachability approach to portfolio construction in finance industry
stochastic reachability finance industry
2010/11/1
In nance industry portfolio construction deals with how to divide the investors wealth across an asset-classes' menu in order to maximize the investors' gain. Main approaches in use at the present ar...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...