标题: 在线性累积前景理论下最佳投资策略的选择
Optimal portfolio selection under Linear Cumulative Prospect Theory
作者: 傅景祥
Fu, Ching-Hsiung
吴庆堂
Wu, Ching-Tang
应用数学系所
关键字: 最佳投资策略;前景理论;累积前景理论;optimal portfolio selection;optimal strategy;linear cumulative prospect theory;cumulative prospect theory;Black-Scholes model;Prospect Theory
公开日期: 2009
摘要: 本論文我们关心的是‘如何投资在股票市场将使我们获利最大’,此问题针对于某些投资者在面对不确定的决策行为符合Linear Cumulative Prospect Theory(线性累积前景理論, LCPT)。LCPT 为Cumulative Prospect Theory 的一特例。本論文采用連续型Black-Scholes 金融市场模型含有一股票和一银行帐户。我们推导出其最大获利的总资产是由投资者的probability weighting function (决策权數函數) 和 discounted Radon-Nikodym derivative 共同决定。在本論文的最后,我们给一例子算出其最大获利,而且观察当我们改变其參數时其最大获利的变化。
In this thesis we are concerned with the optimal portfolio selection for an investor who makes decision according to the Linear Cumulative Prospect Theory (LCPT). LCPT is
a special case of Cumulative Prospect Theory. We investigate the case of a continuous-time economy model with one risk-free asset and one risky asset. The maximum value of terminal wealth is a supremum relative to the probability weighting function and the discounted Radon-Nikodym derivative. We derive some numerical results and illustrate
how these parameters afects the maximum value.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079622533
http://hdl.handle.net/11536/42517
显示于类别:Thesis


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