Dissertation > Excellent graduate degree dissertation topics show

Optimal investment strategy based on jump - diffusion model

Author: Zhao
Tutor: ZhaoPeiBiao
School: Nanjing University of Technology and Engineering
Course: Finance
Keywords: Jump - diffusion model Mean - variance Portfolio Random linear quadratic Efficient Frontier
CLC: F830.59
Type: Master's thesis
Year: 2010
Downloads: 52
Quote: 0
Read: Download Dissertation

Abstract


\strategy , given the efficient frontier of the portfolio . This article in the work XYZhou and D.Li on the basis of , consider the portfolio selection problem when asset prices change process to meet the jump - diffusion differential equations . Analog in XYZhou , and D.Li of research ideas , using the extended Ito rule , part of the jump in asset price movements are decomposed into two parts of the non - random and stochastic , then investors want to maximize their return on investment the dual objective function to minimize its risk weight by two goals give the corresponding rights , further rewritten into a single objective function . Use of modern control theory in stochastic linear quadratic control theory , optimal control to meet the objective function is obtained , that gives the analytical solutions for risk-free assets and risky assets investment share . Likewise , we are also given the optimal portfolio selection problem efficient frontier . The results of this paper can be seen as a natural extension of the work XYZhou and D.Li .

Related Dissertations

  1. Construction and improvement of basic education reform process evaluation platform,G521
  2. Implementation Study of evaluation method of the high school IT courses,G633.67
  3. Design and Development of Electronic Learning Portfolio for Distance Learning,TP391.6
  4. The Application of Recording Portefolio Assessment to English Teaching in Primary School,G623.31
  5. Logic-based Web service composition Petri net modeling and analysis,TP393.09
  6. Ontology -based Semantic Web service matching and composition method,TP393.09
  7. The Research about the Collection Asset Management Plan’s Operation in China Security Market,F832.51
  8. Research on the Information Transfer Effect of Disadvantageous Announcements,F832.51;F224
  9. Application Research in Stock Selection and Optimization Strategies of Portfolio Investment,F830.91
  10. Wuhan Hongxin Company Competitive Strategy,F626
  11. Based on Web Service Online Examination Management System Research and Implementation,TP311.52
  12. The effectiveness of continuous competition reactor optimization approach and its application,TQ015
  13. Based on non- monotonic utility function of the mean - Construction and analysis of variance model,F224
  14. Default correlation based on the degree of concentration risk control method,F830.5
  15. Research of a User Preference-based Trusted Model of Service Composition,TP393.09
  16. The Currency Allocation in Chinese Perspective,F822;F224
  17. Future-cash Arbitrage and Risk Research in China Based on Copula-SV Model,F224
  18. Online Learning and Its Implementation in Intelligent Traffic and Finantial Market,U495;F830
  19. Ant Colony Optimization and Its Application,TP301.6
  20. Stock market risk measurement and correction,F832.51
  21. Contagion effect of the financial crisis of the international stock market analysis,F831.51;F831.59

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Investment
© 2012 www.DissertationTopic.Net  Mobile