【作者】 冯国勇；

【导师】 严定琪；

【作者基本信息】 兰州大学 ， 应用数学， 2010， 硕士

【摘要】 本文考虑金融市场中的动态资产组合问题,以倍率-风险函数作为收益指标,风险价值(VaR)控制函数为风险指标,建立了基于VaR风险控制下的单周期动态log-最优资产组合模型,另外,应用动态规划方法建立了基于VaR风险控制下的多期动态log-最优资产组合模型,分析了模型的性质并证明了模型最优解的存在唯一性。应用遗传算法对两个模型分别进行了实证研究,并结合单周期和多周期两种情形进行比较分析,得出了在VaR风险和收益方面多期模型均要优于单周期模型的结论。更多还原

【Abstract】 This thesis mainly discusses the dynamic portfolio of financial markets. A single-cycle dynamic log-optimal portfolio model was established by taking magnification-risk function as the revenue target, value at risk (VaR) control function as the risk indicators. Besides, A multi-cycle dynamic log-optimal portfolio model based on (VaR) risk control was also set up by applying dynamic programming methods, which analyzes the nature of the model and proves the unique existence of the model’s optimal solutions. Empirical study about the two models has been done respectively. At last, a conclusion will be made that multi-cycle model are superior to single-cycle model in terms of the VaR risk and returns by comparing and analyzing single-cycle and multi-cycle models.更多还原