Journal of South China University of Technology (Natural Science Edition) ›› 2007, Vol. 35 ›› Issue (5): 70-74,80.

• Computer Science & Technology • Previous Articles     Next Articles

Dynamic Mean-LEL Portfolio Selection Model

Guo Fu-hua  Deng Fei-qi   

  1. Institute of Systems Engineering , South China Univ. of Tech. , Guangzhou 510640 ， Guangdong , China
  • Received:2006-04-17 Online:2007-05-25 Published:2007-05-25
  • Contact: 郭福华(1969-)，男，博士生，主要从事金融系统工程与风险管理方面的研究. E-mail:scutgfb@163.com
  • About author:郭福华(1969-)，男，博士生，主要从事金融系统工程与风险管理方面的研究.
  • Supported by:

    国家自然科学基金资助项目(60374023) ;广东省自然科学基金资助项目(011629 )

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Abstract:

This paper aims at a dynamic portfolo selection prob1em via the optimization method. Firstly , in the standard Black -Scholes financial market , the dynamic mean -limited expectation loss (LEL) portfolio selection model is established , in which the risk of portfolio is measured by the LEL. Secondly , the explicit expressions for the optimal portfolio strategy and the mean-LEL efficient frontier are obtained. Finally , the method of solving the model is illustrated by a numerical example. It comes to the conclusion that the value at risk (VaR) is about 2 - 10 times that of LEL under the same expected terminal wealth and portfolio strategy.

Key words: dynamic portfolio selection, efficient frontier, limited expected loss