无模型投资组合理论:一个粗略的路径方法.
Andrew L Allan1, Christa Cuchiero2, Chong Liu3
1Durham University Durham UK.
概括
本研究引入了使用粗略路径集成对随机投资组合理论的一种新的无模型方法. 这种方法提供了一种更一般的方法来分析投资组合,而不需要假设潜在的概率模型.
科学领域:
- 量化金融 量化金融
- 随机分析 随机分析
- 数学金融数学金融
背景情况:
- 随机投资组合理论 (SPT) 传统上依赖于特定的概率模型.
- 现有的无模型方法,如Föllmer集成,在投资组合普遍性方面存在局限性.
- 粗略集成为分析随机过程提供了一个新的框架.
研究的目的:
- 开发一种基于粗略路径集成的随机组合理论 (SPT) 的无模型方法.
- 将无模型方法的适用性扩展到更一般的投资组合类型.
- 在粗略整合及其金融应用方面建立新的理论结果.
主要方法:
- 基于粗略的路径基础,开发一个新的无模型框架.
- 在不假设潜在的概率模型的情况下,对相对财富过程的路径分析.
- 使用受控路径对Cover的通用投资组合进行概括.
主要成果:
- 导出相对财富过程的路径公式,将其缩小为功能生成的投资组合的主公式.
- 一般化的通用投资组合的非对称增长率与以后选择的最佳投资组合相匹配.
- 在 ergodic Itô 扩散设置中的逻辑最佳投资组合表现出与通用投资组合相同的非对称增长率.
结论:
- 粗略路径方法为高级投资组合分析提供了强大的,无模型的方法.
- 这种框架比以前的无模型方法容纳了更多的一般投资组合.
- 该研究证明了不同最佳投资组合策略的非对称增长率的等价性.
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