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Bahiraei, Alireza, Abbasi, Behzad, Omidi, Farahnaz, Hamzah, Nor Aishah, Yaakub, Abdul Hadi. (1394). Continuous time portfolio optimization. هنرهای کاربردی, 6(2), 103-112. doi: 10.22075/ijnaa.2015.258
Alireza Bahiraei; Behzad Abbasi; Farahnaz Omidi; Nor Aishah Hamzah; Abdul Hadi Yaakub. "Continuous time portfolio optimization". هنرهای کاربردی, 6, 2, 1394, 103-112. doi: 10.22075/ijnaa.2015.258
Bahiraei, Alireza, Abbasi, Behzad, Omidi, Farahnaz, Hamzah, Nor Aishah, Yaakub, Abdul Hadi. (1394). 'Continuous time portfolio optimization', هنرهای کاربردی, 6(2), pp. 103-112. doi: 10.22075/ijnaa.2015.258
Bahiraei, Alireza, Abbasi, Behzad, Omidi, Farahnaz, Hamzah, Nor Aishah, Yaakub, Abdul Hadi. Continuous time portfolio optimization. هنرهای کاربردی, 1394; 6(2): 103-112. doi: 10.22075/ijnaa.2015.258

Continuous time portfolio optimization

International Journal of Nonlinear Analysis and Applications
مقاله 9، دوره 6، شماره 2، بهمن 2015، صفحه 103-112    اصل مقاله (345.88 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22075/ijnaa.2015.258
نویسندگان
Alireza Bahiraei* 1؛ Behzad Abbasi2؛ Farahnaz Omidi2؛ Nor Aishah Hamzah3؛ Abdul Hadi Yaakub3
1Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran
2Department of Mathematics, Faculty of Mathematics, Statistics & Computer Science, Semnan University, Semnan, Iran.
3Institute of Mathematical Sciences, Faculty of Science, University of Malaya, 50603 Kuala Lumpur, Malaysia
تاریخ دریافت: 22 آبان 1393،  تاریخ بازنگری: 20 فروردین 1394،  تاریخ پذیرش: 18 اردیبهشت 1394 
چکیده
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on theory or empirical analysis of portfolio insurance focused on how best can portfolio strategies be used in minimizing risk and market volatility. In this paper, stock and risk-free assets are used to replicate options and to establish a new dynamic model to analyze the implementation of the dynamic  process of investors' actions using dynamic replication strategy. Our results show that investors' optimal strategies of portfolio are not dependent on their wealth, but are dependent on market risk and  this new methodology is broaden in compare to paper of Yuan Yao (2012).
کلیدواژه‌ها
Portfolio؛ Investment Strategy؛ Dynamic Optimization
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