Portfolio optimization based on jump-diffusion stochastic differential equation

Huang, Yiling

doi:10.1016/j.aej.2020.04.015

Cited by 2 publications

(1 citation statement)

References 31 publications

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“…Their study is a dynamic decisionmaking model and helps to select the optimal investment portfolios for tourism destinations in the event of uncertainty. In [6] proposes a method of optimizing investment in the portfolio of securities using the stochastic differential equation. In this paper, the Shanghai stock is considered as the research target and a new differential equation is obtained using the dynamic programming method and the optimal feedback control and the optimal system index are obtained.…”

Section: Introductionmentioning

confidence: 99%

A Data-Driven Design of the Optimal Investment Portfolio for the Industry in a two-level Game using the Markowitz Model by Meta-heuristic Algorithms: Economic Analysis of Condition Monitoring System

et al. 2022

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This paper studies, investment portfolio of two players in the banking system in a two-level game, and eventually determines the optimal portfolios of investors using the Markowitz model. This twolevel game includes bank C as the leader of the game and customers of this bank as the game followers. The investment portfolios of the leader player include investment in competitor banks (A and B), foreign exchange market, real estate market, and stock. The data related to the mentioned assets covered 2010-2020, where the optimal investment portfolios of the players was first determined using GAMS and genetic meta-heuristic algorithm. Next, the problem was solved again using the meta-heuristic algorithms of PSO and IWO. Eventually, the optimal algorithm was chosen using TOPSIS multi-criteria decision-making. The results of 3 algorithms indicated that the optimal portfolio for the leader player consisted of investment in properties, securities, and competitor banks respectively.

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Section: Introductionmentioning

confidence: 99%