共查询到18条相似文献,搜索用时 62 毫秒
1.
提出了一种通过均值方差有效前沿上计算无风险资产参与组合时的市场最优组合的几何方法。该方法不仅解决了Matlab金融工具箱组合分析函数在实际计算时常常失效的问题,而且考虑了模型的经济意义,提高了计算的鲁棒性。 相似文献
2.
在不完全市场下, 研究基于随机基准的动态均值-方差投资组合选择问题. 该问题也可以理解为一个跟踪误差动态投资组合问题, 并将之转化为一个等价的考虑风险调整的期望相对收益最大化问题. 利用随机动态规划方法, 给出了最优投资策略和有效前沿的显式表达式. 最后通过实证分析表明了不完全市场和完全市场下最优投资策略和有效前沿的变化, 并对相关结论进行了经济解释.
相似文献3.
最优投资消费问题属于一类典型的随机最优控制问题. 劳动力收入可通过影响期望效用从而影响投资消
费策略的制定. 本文首次在股票收益率和劳动力收入均为不可观测过程情形下, 研究了一类部分信息下的最优投资
消费问题. 首先综合运用Kalman滤波和非线性滤波, 得到了Zakai方程的显式解, 将部分信息下的随机最优控制问题
转化为完备信息下的随机最优控制问题. 其次通过求解HJB方程以及证明验证定理, 得到了该类最优投资消费问题
的最优策略以及值函数的显式表达. 最后采用真实市场数据进行仿真, 对比经典完备信息模型与本文部分信息模型
所得最优策略的差异, 验证了本文所得最优策略在有效利用市场信息方面的优越性. 相似文献
4.
5.
6.
运用两状态隐马尔可夫模型刻画金融资产收益率序列的非线性变化,建立状态变化下的连续时间动态投资组合模型,利用动态规划得到最优投资决策的一般解,使用蒙特卡罗方法模拟投资者的投资决策行为.仿真结果表明:状态变化产生了对冲需求,对冲组合的大小依赖于投资者对市场状态的预期;当风险资产的波动率越小时,投资者状态信念的轻微变化都会引起对冲组合较大幅度的变化;当风险厌恶程度越大时,对冲组合对初始状态信念的变化越不敏感. 相似文献
7.
8.
9.
10.
研究市场指数模型下最优证券组合的简化算法,扩展了针对预期超额收益—贝塔比率最大化提出的简化算法,并将其应用于确定最小风险证券组合构成、考虑风险容忍度的最优证券组合构成、允许和不允许限制性卖空情况下有效证券组合构成及其变动。 相似文献
11.
Wei Yan 《International journal of systems science》2013,44(4):622-628
This article is concerned with continuous-time portfolio selection based on a safety-first criterion under discontinuous price processes (jump-diffusion processes). The solution of the corresponding Hamilton–Jacobi–Bellman equation of the problem is demonstrated. The analytical solutions are presented when there does not exist any riskless asset. Moreover, the problem is also discussed while there exists one riskless asset. 相似文献
12.
In this paper, a new iterative method is proposed to solve the generalized Hamilton-Jacobi-Bellman (GHJB) equation through successively approximate it. Firstly, the GHJB equation is converted to an algebraic equation with the vector norm, which is essentially a set of simultaneous nonlinear equations in the case of dynamic systems. Then, the proposed algorithm solves GHJB equation numerically for points near the origin by considering the linearization of the non-linear equations under a good initial control guess. Finally, the procedure is proved to converge to the optimal stabilizing solution with respect to the iteration variable. In addition, it is shown that the result is a closed-loop control based on this iterative approach. Illustrative examples show that the update control laws will converge to optimal control for nonlinear systems. 相似文献
13.
14.
Ding Wang Jiangyu Wang Mingming Zhao Peng Xin Junfei Qiao 《IEEE/CAA Journal of Automatica Sinica》2023,10(9):1797-1809
This paper is concerned with a novel integrated multi-step heuristic dynamic programming (MsHDP) algorithm for solving optimal control problems. It is shown that, initialized by the zero cost function, MsHDP can converge to the optimal solution of the Hamilton-Jacobi-Bellman (HJB) equation. Then, the stability of the system is analyzed using control policies generated by MsHDP. Also, a general stability criterion is designed to determine the admissibility of the current control policy. That is, the criterion is applicable not only to traditional value iteration and policy iteration but also to MsHDP. Further, based on the convergence and the stability criterion, the integrated MsHDP algorithm using immature control policies is developed to accelerate learning efficiency greatly. Besides, actor-critic is utilized to implement the integrated MsHDP scheme, where neural networks are used to evaluate and improve the iterative policy as the parameter architecture. Finally, two simulation examples are given to demonstrate that the learning effectiveness of the integrated MsHDP scheme surpasses those of other fixed or integrated methods. 相似文献
15.
应用一种新的自适应动态最优化方法(ADP),在线实现对非线性连续系统的最优控制。首先应用汉密尔顿函数(Hamilton-Jacobi-Bellman, HJB)求解系统的最优控制,并应用神经网络BP算法对汉密尔顿函数中的性能指标进行估计,进而得到非线性连续系统的最优控制。同时引进一种新的自适应算法,基于参数误差,在线实现对系统进行动态最优求解,而且通过李亚普诺夫方法对参数收敛情况也进行详细的分析。最后,用仿真结果来验证所提出的方法的可行性。 相似文献
16.
Optimal Synchronization Control of Heterogeneous Asymmetric Input-Constrained Unknown Nonlinear MASs via Reinforcement Learning
下载免费PDF全文
![点击此处可从《IEEE/CAA Journal of Automatica Sinica》网站下载免费的PDF全文](/ch/ext_images/free.gif)
Lina Xia Qing Li Ruizhuo Song Hamidreza Modares 《IEEE/CAA Journal of Automatica Sinica》2022,9(3):520-532
The asymmetric input-constrained optimal synchronization problem of heterogeneous unknown nonlinear multiagent systems(MASs) is considered in the paper. Intuitively,a state-space transformation is performed such that satisfaction of symmetric input constraints for the transformed system guarantees satisfaction of asymmetric input constraints for the original system. Then, considering that the leader’s information is not available to every follower, a novel distributed observer is designed to est... 相似文献
17.
Considering the stochastic exchange rate, this paper is concerned with the dynamic portfolio selection in financial market. The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion. These processes follow jump-diffusion processes (Weiner process and Poisson process). Then the corresponding Hamilton–Jacobi–Bellman(HJB) equation of the problem is presented and its efferent frontier is obtained. Moreover, the optimal strategy is also derived under safety-first criterion. 相似文献
18.
基于自适应动态规划(ADP)执行-评价结构,应用神经网络(NN)对非线性系统进行最优控制求解.首先提出所求解非线性系统的一般形式;其次给定二次正定性能指标,求其哈密尔顿函(HJB)函数;分别应用神经网络对执行-评价结构中的性能指标和最优控制进行逼近,神经网络权重参数应用梯度法求得,从而可以求得其最有控制策略.而且对执行机构和评价机构神经网络权重参数的收敛性以及系统总体的稳定性进行了详细的分析,证明所求控制策略可以使系统稳定;最后,用仿真结果来验证所提出的方法的可行性. 相似文献