提现成功估计

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2023-11-01 DOI:10.1142/s0219024923500140

Hayden Brown

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引用次数: 0

摘要

给定一个资产具有几何l稳定财富过程，构造了一个对数l稳定财富下界。使用转换，将下限应用于初始投资之后出现的提款计划。因此，描述了完成给定提现计划的概率的上界。对于等距时间的等量提现，给出初始投资和财富过程参数的必要条件，使[公式:见文]能够以95%的置信度进行提现。如果从标准普尔综合指数(s&p;P Composite Index)保持100 %(公式:参见文本)和通货膨胀保值债券(公式:参见文本)保持100 %(公式:参见文本)的年度再平衡投资组合中提取资金，初始投资必须至少是每次提取金额的[公式:参见文本]和[公式:参见文本]的[公式:参见文本]倍。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Withdrawal Success Estimation

Given an asset having a geometric Lévy alpha-stable wealth process, a log-Lévy alpha-stable lower bound is constructed for the terminal wealth of a regular investing schedule. Using a transformation, the lower bound is applied to a schedule of withdrawals occurring after an initial investment. As a result, an upper bound is described on the probability to complete a given schedule of withdrawals. For withdrawals of a constant amount at equidistant times, necessary conditions are given on the initial investment and parameters of the wealth process such that [Formula: see text] withdrawals can be made with 95% confidence. When withdrawing from an annually rebalanced portfolio maintaining 100[Formula: see text]% in the S&P Composite Index and 100([Formula: see text])% in inflation protected bonds, the initial investment must be at least [Formula: see text] times the amount of each withdrawal for [Formula: see text] and [Formula: see text].

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.