It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-D...It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.展开更多
Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin ...Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic in- vestment return. Conditional expectation properties and martingale inequalities are used to obtain both ex- ponential and non-exponential upper bounds for the ruin probability.展开更多
This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of gen...This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of general correlation is considered,i.e.,the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods.Such a model with a general correlation structure extends the classical multiperiod MVAL models with assumption of independent returns.The authors derive the explicit portfolio policy and the MV efficient frontier for this problem.Moreover,a numerical example is presented to illustrate the efficiency of the proposed solution scheme.展开更多
基金National Natural Science Foundation of China(No.71401144)
文摘It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.
基金Supported by the National Natural Science Foundation of China (Nos. 19831020 and 70003002) and the Fundamental Research Foundation of School of Economics and Management,Tsinghua University
文摘Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic in- vestment return. Conditional expectation properties and martingale inequalities are used to obtain both ex- ponential and non-exponential upper bounds for the ruin probability.
基金partially supported by the National Natural Science Foundation of China under Grant Nos.72201067,12201129,and 71973028the Natural Science Foundation of Guangdong Province under Grant No.2022A1515010839+1 种基金the Project of Science and Technology of Guangzhou under Grant No.202102020273the Opening Project of Guangdong Province Key Laboratory of Computational Science at Sun Yat-sen University under Grant No.2021004。
文摘This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of general correlation is considered,i.e.,the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods.Such a model with a general correlation structure extends the classical multiperiod MVAL models with assumption of independent returns.The authors derive the explicit portfolio policy and the MV efficient frontier for this problem.Moreover,a numerical example is presented to illustrate the efficiency of the proposed solution scheme.
