Logarithm Utility Maximization Portfolio Engineering with Bankruptcy Control: a Nonparametric Estimation Framework
Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical example based on real data of Chinese stock market is presented.
Portfolio engineering Bankruptcy control Logarithm utility maximization Nonparametric estimation
Qing-hua Ma Hai-xiang Yao Shi-Yang Li
School of Informatics, Guangdong University of Foreign Studies, Guangzhou 510006, China
国际会议
International Symposium on Emergency Management 2011(ISEM‘2011)(第六届国际应急管理论坛暨中国(双法)应急管理专业委员会第七届年会)
北京
英文
201-206
2011-11-19（万方平台首次上网日期，不代表论文的发表时间）