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Optimal Dynamic Protfolio Selection under Stock Price Process Subject to Fractional Brown Motion and Different Risk Measure

Author: HengChuanJie
Tutor: GuoWenZuo
School: Nanjing University of Finance and Economics
Course: Finance
Keywords: VaR CVaR CaR Fractional Brownian motion Self - financing strategy Dynamic combination of optimal
CLC: F830.91
Type: Master's thesis
Year: 2010
Downloads: 102
Quote: 0
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Abstract


Matkowitz portfolio theory is the beginning of the modern financial theory . The proposed Matkowitz mean - variance model portfolio theory model . Mean - variance model variance to measure risk measure bilateral risk , contrary to the wishes of investors . On the other hand , the classic portfolio theory assumes that the stock price process is a Brownian motion . This assumption can not explain stock returns characteristics of self-similarity , Zhang Xiangyi . Peter ( 1994 ) to fit the stock price process with fractional Brownian motion , many empirical results show that the fractional Brownian motion can explain the self-similarity of stock returns and Zhang Xiangyi market vision . This article assumes that the process of market shares for the fractional Brownian motion, to explore a variety of downside risk measure portfolio selection problem . First of all, the definition of fractional Brownian motion and VaR , CVaR , CAR , etc. downside risk measure , nature ; Then, according to the idea of Matkowitz optimal portfolio selection , mean - VaR , mean - CVaR , mean - car dynamic planning model ; and the use of multi - layered planning method to solve the optimal portfolio downside risk measure expression ; Finally, use eviws , the Matlab software combined with data on the efficient frontier to simulate different risk measure optimal investment strategy compared to some suggestions , provide some theoretical guidance for the practical application of the investors .

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