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个人信息Personal Information
教授
博士生导师
硕士生导师
性别：男
毕业院校：吉林大学
学位：博士
所在单位：数学科学学院
学科：计算数学. 金融数学与保险精算
电子邮箱：yubo@dlut.edu.cn
Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle
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论文类型：期刊论文
发表时间：2016-06-29
发表刊物：SPRINGERPLUS
收录刊物：SCIE、PubMed、SSCI、Scopus
卷号：5
期号：1
页面范围：919
ISSN号：2193-1801
关键字：Mean-risk portfolio; Safety-first; Stable portfolio; Sparse portfolio
摘要：We propose a consolidated risk measure based on variance and the safety-first principle in a mean-risk portfolio optimization framework. The safety-first principle to financial portfolio selection strategy is modified and improved. Our proposed models are subjected to norm regularization to seek near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred proposed model to a benchmark, S&P 500 index for the same period. Our proposed portfolio strategies have better out-of-sample performance than the selected alternative portfolio rules in literature and control the downside risk of the portfolio returns.