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引用次数: 1
摘要
目标型投资不同于现代投资组合理论中的均值-方差优化,它关注的是在给定的有限期限内达到货币投资目标。在本文中,我们扩展了最初在Browne (Adv Appl Probab 31(2): 551-577, 1999)中发现的基于目标的投资和期权套期保值之间的密切联系,允许使用不同订单的较低部分矩的不同程度的投资者风险厌恶。此外,我们表明,最大化达到目标的概率(分位数对冲,参见Föllmer和Leukert in Finance Stoch 3:251-273, 1999)和最小化预期缺口(有效对冲,参见Föllmer和Leukert in Finance Stoch 4:117-146, 2000)实际上是相同的最优投资政策。我们进一步提出了一种使用强化学习方法的创新和无模型的基于目标的投资方法。据我们所知,我们提供了第一个基于目标的投资算法方法,可以在存在交易成本的情况下找到最佳解决方案。
Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between goal-based investing and option hedging that was originally discovered in Browne (Adv Appl Probab 31(2):551–577, 1999) by allowing for varying degrees of investor risk aversion using lower partial moments of different orders. Moreover, we show that maximizing the probability of reaching the goal (quantile hedging, cf. Föllmer and Leukert in Finance Stoch 3:251–273, 1999) and minimizing the expected shortfall (efficient hedging, cf. Föllmer and Leukert in Finance Stoch 4:117–146, 2000) yield, in fact, the same optimal investment policy. We furthermore present an innovative and model-free approach to goal-based investing using methods of reinforcement learning. To the best of our knowledge, we offer the first algorithmic approach to goal-based investing that can find optimal solutions in the presence of transaction costs.
期刊介绍:
The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org
Officially cited as: Financ Mark Portf Manag