带比例交易成本投资组合选择.pdf

( ) 35 2 Journal of Zhejiang University(Science Edition) Vol. 35 No.2 2008 3 http:// www. journals. / sci Mar. 2008 孙 超, 李胜宏 ( , 310027) :介绍了在完备市场下用鞅方法解决最优投资组合的问题. 存在交 成本和交 约束的情况下, 提出了用条 件Delta 对冲模型进行期权复制, 最小化复制误差,得到最优对冲下的波动率, 即调整后的波动率, 再将调整后的波 动率代替鞅方法下的投资组合波动率,就得到了存在交 成本和交 约束下的最优投资组合.通过 Monte Carlo 模 拟的方法来计算最优投资组合. 数值结果显示了交 成本和其他参数对最优投资组合策略的影响, 并将其与完备 市场下的投资组合进行了比较. :鞅方法; Monte Carlo 模拟; Delta 对冲; 复制误差; 最优投资组合 :F830.59 : : 1008- 9497( 2008) 02- 153- 07 SU N Chao, LI Shenghong(Dep artment of Mathematics, Zhej iang University , H angzhou 310027, China) ortfolio selection at proportional transaction costs. Journal of Zhejiang University( Science Edition) , 2008,35( 2) : 153 ~ 159 Abstract: Martingale approach is introduced to solve the problem of optimal portfolio in complete markets. With the consideration of the transaction costs and trading restrictions, a conditional delta hedging model is proposed to repli cate the option. By minimizing the absolute replication error, the optimal hedging volatility is yielded, namely the adjusted volatility, and then this adjusted volatility with martingale approach is integrated to achieve the optimal portfolio in presence of transaction costs and trading restrictions. The method relies on M onte Carlo simulation to compute numerically the value of optimal portfolio with proportional transaction costs. Numerical results show that transaction costs, the other parameters effects on the optimal investment policy and the value of the optimal portfolio are compared in complete markets with the one in presence of the transaction costs. Key words: martingale approach; Monte Carlo simulation; Delta hedging; replication error; optimal portfolio