AN EXTENDED MODEL FOR THE PORTFOLIO SELECTION UNDER STOCHASTIC ENVIRONMENT

Karan Thagunna

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AN EXTENDED MODEL FOR THE PORTFOLIO SELECTION UNDER STOCHASTIC ENVIRONMENT

机译：随机环境下投资组合选择的扩展模型

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摘要

We consider a particular case of an optimal consumption and portfolio selection problem for an innitely lived investor whose consumption rate process is subject to downside constraint. We also consider the wealth dynamics is composed of three assets (i) riskless assets (ii) risky assets (iii) hedge assets.

机译：我们考虑一个特别的消费和投资组合选择问题的特定案例，为一个实际居住的投资者的消费率过程受到下行约束的实际投资者。我们还考虑财富动态由三个资产（i）无风险资产（ii）风险资产（iii）对冲资产。

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《International journal of mathematics and analysis》 |2018年第2期|共19页
作者
Karan Thagunna;
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原文格式 PDF
正文语种 eng
中图分类数学分析;
关键词
EXTENDED; PORTFOLIO SELECTION UNDER; STOCHASTIC ENVIRONMENT;

机译：延长;投资组合选择下;随机环境;

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专利

1. AN EXTENDED MODEL FOR THE PORTFOLIO SELECTION UNDER STOCHASTIC ENVIRONMENT [J] . Karan Thagunna International journal of mathematics and analysis . 2018,第2期

机译：随机环境下投资组合选择的扩展模型
2. Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models [J] . Renato Bruni, Francesco Cesarone, Andrea Scozzari, Data in Brief . 2016,第1期

机译：用于投资组合选择的现实世界数据集和一些随机支配投资组合模型的解决方案
3. Portfolio Selection in Stochastic Environments [J] . Jun Liu The review of financial studies . 2007,第1期

机译：随机环境中的投资组合选择
4. A Risk Averse Stochastic Optimization Model for Wind Power Plants Portfolio Selection [C] . Luiz Armando Steinle Camargo, Laís Domingues Leonel, Dorel Soares Ramos, International Conference on Smart Energy Systems and Technologies . 2020

机译：风力发电项目组合选择的风险厌恶随机优化模型
5. Portfolio selection in stochastic environments. [D] . Liu, Jun. 2000

机译：随机环境中的投资组合选择。
6. Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models [O] . Renato Bruni, Francesco Cesarone, Andrea Scozzari, 2016

机译：用于投资组合选择的现实世界数据集和一些随机支配投资组合模型的解决方案
7. A class of stochastic optimization problems with one quadratic several linear objective functions and extended portfolio selection model [O] . Xu Jiuping, Li Jun 2002

机译：一类具有一个二次和多个线性目标函数和扩展组合选择模型的随机优化问题

AN EXTENDED MODEL FOR THE PORTFOLIO SELECTION UNDER STOCHASTIC ENVIRONMENT

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