Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation

doi:10.1109/TAC.2004.824474

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	Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation
	Zhu, SS ; Li, D ; Wang, SY
刊名	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
	2004-03-01
卷号	49 期号:3 页码:447-457
关键词	dynamic portfolio selection dynamic programming mean-variance formulation stochastic control
ISSN号	0018-9286
DOI	10.1109/TAC.2004.824474
英文摘要	For an investor to claim his wealth resulted from his multiperiod portfolio policy, he has to sustain a possibility of bankruptcy before reaching the end of an investment horizon. Risk control over bankruptcy is thus an indispensable ingredient of optimal dynamic portfolio selection. We propose in this note a generalized mean-variance model via which an optimal investment policy can be generated to help investors not only achieve an optimal return in the sense of a mean-variance tradeoff, but also have a good risk control over bankruptcy. One key difficulty in solving the proposed generalized mean-variance model is the nonseparability in the associated stochastic control problem in the sense of dynamic programming. A solution scheme using embedding is developed in this note to overcome this difficulty and to obtain an analytical optimal portfolio policy.
WOS研究方向	Automation & Control Systems ; Engineering
语种	英语
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
WOS记录号	WOS:000220256400013
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/632]
专题	系统科学研究所
通讯作者	Zhu, SS
作者单位	1.Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China 2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Zhu, SS,Li, D,Wang, SY. Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2004,49(3):447-457.
APA	Zhu, SS,Li, D,&Wang, SY.(2004).Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,49(3),447-457.
MLA	Zhu, SS,et al."Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 49.3(2004):447-457.