Dynamic Relative Mean-RCVaR Portfolio Model Based on Stochastic Benchmark

摘要：

A dynamic portfolio selection problem with stochastic benchmark is investigated.The expected relative terminal wealth is maximized under a new risk constraint,RCVaR,which is defined by a relative wealth process.In a Black-Scholes setting,stochastic analysis method and nonlinear programming theory are used to obtain explicit solutions of the optimal strategies and the efficient frontiers,which include the riskless asset,revised market portfolio and benchmark portfolio.The results exhibit three-fund separation theorem.Numerical examples are presented.

关键词： Dynamic Portfolio Stochastic Benchmark RCVaR Black-Scholes Setting Optimal Strategies

作者: Xiuguo Wang Zhao Yin

作者单位: School of Applied Mathematics,Central University of Finance and Economics,Beijing 100081

会议类型: 国际会议

会议名称: 2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)

会议地点: 上海

会议语种:英文

页码: 225-232

在线出版日期: 2008-05-30（万方平台首次上网日期，不代表论文的发表时间）