Optimal Portfolio of Minimizing CVaR for Fractional Brownian Motion

摘要：

The fractional Brownian motion has played an increasingly important role in many elds of application. This paper is to study the application of fractional Brownian motion in optimal portfolio of risk assets. The CVaR explicit formula of portfolio for fractional Brownian motion is derived, then the mathematical model of optimal portfolio and the relative Newton numerical method are presented. In particular, an application to stock markets illustrates this procedure. The results show that the optimal portfolio of fractional Brownian motion is better than the optimal portfolio of standard Brownian motion in two aspects of mean return and extreme loss.

关键词： fractional brownian motion optimal portfolio.CVaR

作者: Xin Yang

作者单位: Department of Mathematics Kings College London London, UK

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 204-208

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）