{"title":"具有破产控制的对数效用最大化投资组合工程:一个非参数估计框架","authors":"Qing-hua Ma, Hai-xiang Yao, Shi-Yang Li","doi":"10.1016/j.sepro.2012.04.024","DOIUrl":null,"url":null,"abstract":"<div><p>Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical portfolio engineering example based on real data of Chinese stock market is presented.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"5 ","pages":"Pages 150-155"},"PeriodicalIF":0.0000,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.024","citationCount":"1","resultStr":"{\"title\":\"Logarithm Utility Maximization Portfolio Engineering with Bankruptcy Control: a Nonparametric Estimation Framework\",\"authors\":\"Qing-hua Ma, Hai-xiang Yao, Shi-Yang Li\",\"doi\":\"10.1016/j.sepro.2012.04.024\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical portfolio engineering example based on real data of Chinese stock market is presented.</p></div>\",\"PeriodicalId\":101207,\"journal\":{\"name\":\"Systems Engineering Procedia\",\"volume\":\"5 \",\"pages\":\"Pages 150-155\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.024\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Systems Engineering Procedia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2211381912000677\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Engineering Procedia","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2211381912000677","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Logarithm Utility Maximization Portfolio Engineering with Bankruptcy Control: a Nonparametric Estimation Framework
Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical portfolio engineering example based on real data of Chinese stock market is presented.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
