Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （n...In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （no-shorting）. First, aLagrange multiplier is introduced to simplify the mean-variance problem and thecorresponding Hamilton-Jacobi-Bellman （HJB） equation is established. Via a powertransformation technique and variable change method, the optimal strategies withthe Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem （i.e., the efficientstrategies and efficient frontier） are derived explicitly.展开更多
Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimat...Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimation is key to effective strategies.Based on the decomposition form of the covariance matrix.This paper introduces semi-variance for improved financial asymmetric risk measurement;addresses asymmetry in financial asset correlations using distance,asymmetric,and Chatterjee correlations to refine covariance matrices;and proposes three new covariance matrix models to enhance risk assessment and portfolio selection strategies.Testing with data from 30 stocks across various sectors of the Chinese market confirms the strong performance of the proposed strategies.展开更多
The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod mod...The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one.展开更多
In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial ...In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities.展开更多
This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper...This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.展开更多
In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time...In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time “t”. Stochastic differential equations were obtained from the simple differential difference equations during the epoch of time “Δt”. The notion of bivariate linear birth, death and migration process has been utilized for measuring various statistical characteristics among the investments of Long and Short terms. All possible fluctuations in the investment flow have been considered to explore more meaningful assumptions with contemporary marketing environments. Mathematical relations for proposed statistical measures such as average sizes and variances of short term and long-term investments along with the correlation coefficient between them are derived after obtaining the related differential equations. Numerical illustrations were provided for better understanding of the developed models with practitioner’s point of view.展开更多
We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance finan...We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.展开更多
The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the c...The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which depends on investor's attitude toward risk;the effect of model uncertainty is more significant with the increasing of investment horizon,the decreasing of investor's risk-aversion degree,and the decreasing of information;predictability of risky asset return increases its allocation in portfolio,at the same time,the effect of model uncertainty also strengthens.展开更多
Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organizat...Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organization of the multiple strategical guidance and multi-knapsack model. Furthermore, the organizing resource utility and risk management of portfolio were considered. The experiments were conducted on three main technological markets which contain communication, transportation and industry. The results demonstrated that the proposed model and algorithm were feasible and reliable.展开更多
In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain wit...In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.展开更多
This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in t...This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in the project portfolio selection problem for the first time. The mathematical representations of the relationship between learning experience and investment cost are provided. One numerical example under different scenarios is demonstrated and the impact of considering learning effect is then discussed.展开更多
Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed...Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed,then CCMV problem is transferred into a difference-of-convex-functions(DC)problem.By exploiting the DC structure of the gained problem and the superlinear convergence of semismooth Newton(ssN)method,an inexact proximal DC algorithm with sieving strategy based on a majorized ssN method(siPDCA-mssN)is proposed.For solving the inner problems of siPDCA-mssN from dual,the second-order information is wisely incorporated and an efficient mssN method is employed.The global convergence of the sequence generated by siPDCA-mssN is proved.To solve large-scale CCMV problem,a decomposed siPDCA-mssN(DsiPDCA-mssN)is introduced.To demonstrate the efficiency of proposed algorithms,siPDCA-mssN and DsiPDCA-mssN are compared with the penalty proximal alternating linearized minimization method and the CPLEX(12.9)solver by performing numerical experiments on realword market data and large-scale simulated data.The numerical results demonstrate that siPDCA-mssN and DsiPDCA-mssN outperform the other methods from computation time and optimal value.The out-of-sample experiments results display that the solutions of CCMV model are better than those of other portfolio selection models in terms of Sharp ratio and sparsity.展开更多
To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index s...To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index system and calculating the activity weight for the project portfolio, the constraint relationship between project portfolio information and resource utilization, as the two dimensions of the DSM, are fully reflected in the sched- ule model to determine the order of these activities of project portfolio. A project portfolio example is given to il- lustrate the applicability and effectiveness of the schedule model.展开更多
The article introduces proportional reinsurance contracts under the mean-variance criterion,studying the time-consistence investment portfolio problem considering the interests of both insurance companies and reinsura...The article introduces proportional reinsurance contracts under the mean-variance criterion,studying the time-consistence investment portfolio problem considering the interests of both insurance companies and reinsurance companies.The insurance claims process follows a jump-diffusion model,assuming that the risk asset prices of insurance companies and reinsurance companies follow CEV models different from each other.In the framework of game theory,the time-consistent equilibrium reinsurance strategy is obtained by solving the extended HJB equation analytically.Finally,numerical examples are used to illustrate the impact of model parameters on equilibrium strategies and provide economic explanations.The results indicate that the decision weights of insurance companies and reinsurance companies do have a significant impact on both the reinsurance ratio and the equilibrium reinsurance strategy.展开更多
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
基金The NSF(11201111) of ChinaHebei Province Colleges and Universities Science,and Technology Research Project(ZD20131017)
文摘In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （no-shorting）. First, aLagrange multiplier is introduced to simplify the mean-variance problem and thecorresponding Hamilton-Jacobi-Bellman （HJB） equation is established. Via a powertransformation technique and variable change method, the optimal strategies withthe Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem （i.e., the efficientstrategies and efficient frontier） are derived explicitly.
基金National Natural Science Foundation of China(Project No.:12201579)。
文摘Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimation is key to effective strategies.Based on the decomposition form of the covariance matrix.This paper introduces semi-variance for improved financial asymmetric risk measurement;addresses asymmetry in financial asset correlations using distance,asymmetric,and Chatterjee correlations to refine covariance matrices;and proposes three new covariance matrix models to enhance risk assessment and portfolio selection strategies.Testing with data from 30 stocks across various sectors of the Chinese market confirms the strong performance of the proposed strategies.
文摘The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one.
基金Project supported by the National Natural Science Foundation of China （Grant Nos.70518001. 70671064）
文摘In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities.
基金Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)
文摘This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.
文摘In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time “t”. Stochastic differential equations were obtained from the simple differential difference equations during the epoch of time “Δt”. The notion of bivariate linear birth, death and migration process has been utilized for measuring various statistical characteristics among the investments of Long and Short terms. All possible fluctuations in the investment flow have been considered to explore more meaningful assumptions with contemporary marketing environments. Mathematical relations for proposed statistical measures such as average sizes and variances of short term and long-term investments along with the correlation coefficient between them are derived after obtaining the related differential equations. Numerical illustrations were provided for better understanding of the developed models with practitioner’s point of view.
文摘We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.
基金Key program of Natural Science Research of High Education of Anhui Province of China(No.KJ2009A157)
文摘The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which depends on investor's attitude toward risk;the effect of model uncertainty is more significant with the increasing of investment horizon,the decreasing of investor's risk-aversion degree,and the decreasing of information;predictability of risky asset return increases its allocation in portfolio,at the same time,the effect of model uncertainty also strengthens.
文摘Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organization of the multiple strategical guidance and multi-knapsack model. Furthermore, the organizing resource utility and risk management of portfolio were considered. The experiments were conducted on three main technological markets which contain communication, transportation and industry. The results demonstrated that the proposed model and algorithm were feasible and reliable.
文摘In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.
基金supported by the National Natural Science Foundation of China (71772060).
文摘This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in the project portfolio selection problem for the first time. The mathematical representations of the relationship between learning experience and investment cost are provided. One numerical example under different scenarios is demonstrated and the impact of considering learning effect is then discussed.
基金supported by the National Natural Science Foundation of China(Grant No.11971092)supported by the Fundamental Research Funds for the Central Universities(Grant No.DUT20RC(3)079)。
文摘Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed,then CCMV problem is transferred into a difference-of-convex-functions(DC)problem.By exploiting the DC structure of the gained problem and the superlinear convergence of semismooth Newton(ssN)method,an inexact proximal DC algorithm with sieving strategy based on a majorized ssN method(siPDCA-mssN)is proposed.For solving the inner problems of siPDCA-mssN from dual,the second-order information is wisely incorporated and an efficient mssN method is employed.The global convergence of the sequence generated by siPDCA-mssN is proved.To solve large-scale CCMV problem,a decomposed siPDCA-mssN(DsiPDCA-mssN)is introduced.To demonstrate the efficiency of proposed algorithms,siPDCA-mssN and DsiPDCA-mssN are compared with the penalty proximal alternating linearized minimization method and the CPLEX(12.9)solver by performing numerical experiments on realword market data and large-scale simulated data.The numerical results demonstrate that siPDCA-mssN and DsiPDCA-mssN outperform the other methods from computation time and optimal value.The out-of-sample experiments results display that the solutions of CCMV model are better than those of other portfolio selection models in terms of Sharp ratio and sparsity.
基金supported by National Natural Science Foundation of China under Grant No.71172123Aviation Science Fund under Grant No.2012ZG53083+1 种基金Soft Science Foundation of Shaanxi Province under Grant No.2012KRM85the Funds of NPU for Humanities & Social Sciences and Management Revitalization under Grant No.RW201105
文摘To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index system and calculating the activity weight for the project portfolio, the constraint relationship between project portfolio information and resource utilization, as the two dimensions of the DSM, are fully reflected in the sched- ule model to determine the order of these activities of project portfolio. A project portfolio example is given to il- lustrate the applicability and effectiveness of the schedule model.
文摘The article introduces proportional reinsurance contracts under the mean-variance criterion,studying the time-consistence investment portfolio problem considering the interests of both insurance companies and reinsurance companies.The insurance claims process follows a jump-diffusion model,assuming that the risk asset prices of insurance companies and reinsurance companies follow CEV models different from each other.In the framework of game theory,the time-consistent equilibrium reinsurance strategy is obtained by solving the extended HJB equation analytically.Finally,numerical examples are used to illustrate the impact of model parameters on equilibrium strategies and provide economic explanations.The results indicate that the decision weights of insurance companies and reinsurance companies do have a significant impact on both the reinsurance ratio and the equilibrium reinsurance strategy.
