| Portfolio Selection Model with Derivative Securities |
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| 作者姓名： | 王春峰 杨建林 蒋祥林 |
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| 作者单位： | SchoolofManagement,TianjinUniversity,Tianjin300072,China |
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| 基金项目： | SupportedbyNationalNaturalScienceFoundationofChina(No . 79870 0 90 )andTARPORT(1 999 50 ) . |
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| 摘 要： | Traditional portfolio theory assumes that the return rate of portfolio follows normality ,However,this assumption is not true when derivative assets are incorporated,In this paper a portfolio selection model is devel-oped based on utility function which can captue asymmetries in random variable distributions.Other realistic conditions are also considered ,such as liabilities and integer decision variables,Since the resulting model is a complex mixed-integer nonlinear programming problem ,simulated annealing algorithm is applied for its solution.A numerical example is given and sensitivity analysis is conducted for the model.
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| 关 键 词： | 有价证券选择 非线性规划 模拟退火 衍生产品安全 现金流 |
Portfolio Selection Model with Derivative Securities |
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| WANG Chun feng,YANG Jian lin,JIANG Xiang lin.Portfolio Selection Model with Derivative Securities[J].Transactions of Tianjin University,2003,9(1):68-70. |
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| Authors: | WANG Chun feng YANG Jian lin JIANG Xiang lin |
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| Abstract: | Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model. |
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| Keywords: | portfolio selection derivative assets nonlinear programming simulated annealing |
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