機率研討會
主講者: 李仲飛 教授 (廣州中山大學)
講題: Continuous-Time Portfolio Selection under Safety-First Rules
時間: 2008-01-02 (Wed.)  10:30-11:30
地點:
Abstract: In this talk we investigate continuous-time portfolio selection in the Black-Scholes financial market under different investment rules: Roy’s safety-first, Telser’s safety-first, Kataoka’s safety-first, mean-variance. To ensure tractability of these portfolio selection problems, we restrict ourselves to the class of trading strategies that are deterministic, Borel measurable, bounded functions over the time horizon. We derive closed-form optimal strategies for these problems, showing for instance that under Roy’s safety-first rule, during longer time horizons, it is optimal to invest less into the risky assets.
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