| A dynamic decision model for portfolio investment and assets management |
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| 作者姓名： | 钱彦敏 冯颖 HIGGISION James |
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| 作者单位： | [1]Center for Private Economy Research Zhejiang University, Hangzhou 310027, China [2]Department of Science Technology Research, City College, Zhejiang University, Hangzhou 310007, China [3]Faculty, of Engineering the University of Waterloo, Waterloo, N2L 3G1, Canada |
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| 摘 要： | This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz＇s portfolio selection theory and Sharpe＇s rule for investment decision. An analytical solution is presented to show how an institutional or individual investor can combine Markowitz＇s portfolio selection theory, generalized Sharpe＇s rule and Value-at-Risk （VaR） to find candidate assets and optimal level of position sizes for investment （dis-investment）. The result shows that the generalized Markowitz＇s portfolio selection theory and generalized Sharpe＇s rule improve decision making for investment.
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| 关 键 词： | 资产投资 资产管理 投资风险 Sharpe规则 投资策略 |
| 收稿时间： | 2005-04-13 |
| 修稿时间： | 2005-06-27 |
A dynamic decision model for portfolio investment and assets management |
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| Qian YanMin;Feng Ying;HIGGISION;James.A dynamic decision model for portfolio investment and assets management[J].Journal of Zhejiang University Science,2005,6(B08):163-171. |
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| Authors: | Qian YanMin;Feng Ying;HIGGISION;James |
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