投资组合保险最优化研究及策略分析

西南交通大学博士学位论文投资组合保险最优化研究及策略分析姓名：姚远申请学位级别：博士专业：管理科学与工程指导教师：史本山20061101投资组合保险最优化研究及策略分析作者：姚远学位授予单位：西南交通大学参考文献(155条)1.AkgirayV.GBoothStockPriceProcesseswithDiscontinuousTimePaths:AnEmpiricalExamination19862.AlexanderSSPriceMovementsinSpeculativeMarkets:TrendsorRandomWalks1961(02)3.AminKI.VkNgOptionValuationwithSystematicStochasticVolatility19934.AndreFP.SharpeWFDynamicStrategiesforAssetAllocation19885.AndreFPConstantProportionInsurance19866.AsayMichael.CharlesEdelsburgCanaDynamicStrategyReplicatetheReturnsofanOption19867.BajeuxI.PortaitRTheNumerairePortfolio:AnewApproachtoFinancialTheory1997(03)8.BallCA.TorousWNASimplifiedJumpProcessforCommonStockReturns1983(01)9.BasakSAGeneralEquilibriumModelofPortfolioInsurance1995(08)10.BasakSAGeneralEquilibriumContinuous-TimeAsset-PricinginThePresenceof(1)PortfolioInsurersand(2)Non-Price-TakingInvestors199311.BasakSAComparativeStudyofPortfolioInsurance200212.BasakS.ShapiroAValue-at-Risk-BasedRiskManagement:OptimalPoliciesandAssetPrices2001(14)13.BenningaSimon.MarshallBlumeOntheOptimalityofPortfolioInsurance198514.BernhardNPortfolioInsuranceandModelUncertainty200315.BlackF.MScholesThePricingofOptionandCorporateLiabilities1973(81)16.BlackF.RJonesSimplifyingPortfolioInsurance1987(14)17.BlackF.RJonesSimplifyingPortfolioInsuranceforCorporatePensionPlans198818.BlackF.AFPeroldTheoryofConstantProportionPortfolioInsurance1992(16)19.BolyeP.TVorstOptionReplicationinDiscreteTimewithTransactionCosts199220.BookstaberRichard.ClarkeRogerGOptionCanAlterPortfolioReturnDistributions198121.BookstaberRichard.ClarkeRogerGProbleminEvaluatingthePerformanceofPortfoliowithOption198522.BreedenDTAnIntertemporalAssetPricingModelwithStochasticConsumptionandInvestmentOpportunities1979(07)23.BreedenDT.RHLitzenbergerPricesofStateContingentClaimsImplicitinOptionPrices1978(51)24.BrennanMJThePricingofContingentClaiminDiscreteTimeModels1979(34)25.BrennanMJ.ESSchwartzAContinuousTimeApproachtothePricingofBonds197926.BrennanMJ.ESSchwartzThePricingofEquityLinkedLifeInsurancePolicieswithanAssetValueGuarantee197627.BrennanMJ.ESSchwartzTime-invariantPortfolioInsuranceStrategies1988(43)28.BrennanMJ.ESSchwartzPortfolioInsuranceandFinancia]MarketEquilibrium1989(62)29.BrennanMJ.RSolankiOptimalPortfolioInsurance1981(16)30.CampbellJY.GrossmanSJ.WangJTradingVolumeandSerialCorrelationinStockReturns1993(04)31.CassD.StiglitzJETheStructureofInvestorPreferencesandAssetReturns,andSeparabilityinPortfolioAllocation:AContributiontothePureTheoryofMutualFunds197032.ChoieKennethS.EricJSerfTIPP:InsurancewithoutComplexity:Comment198933.ClarkeRogerG.RobertDAmottTheCostofPortfolioInsurance:TradeoffsandChoices198734.CoxJC.HuangCFOptimalConsumptionandPortfolioPoliciesWhenAssetPricesFollowaDiffusionProcess1989(49)35.CoxJ.HLelandOndynamicinvestmentstrategies198236.CoxJC.LelandHEOndynamicinvestmentstrategies2000(11)37.CoxJC.SARossTheValuationofOptionsforAlternativeStochasticProcesses1976(03)38.CoxJC.SARoss.MRubinsteinOptionsPricing:ASimplifiedApproach1979(07)39.CoxJC.JIngersoll.SARossATheoryoftheTermStructureofInterestRates1985(53)40.DeelstraG.MGrasselli.PKoehlOptimalInvestmentStrategiesinThePresenceofAMinimumGuarantee2003(33)41.DonaldaonRG.HUhligTheImpactofLargePortfolioInsurersonAssetPrices1993(48)42.DuffleDStochasticEquilibriumwithIncompleteFinancialMarkets1987(41)43.DuffleD.HuangCFImplementingArrow-DebreuEquilibriabyContinuousTradingofFewLong-LivedSecurities198544.EstepT.KritzmanMarkTIPP:InsuranceWithoutComplexity198845.EtzioniSEthanRebalanceDisciplinesforPortfolioInsurance198646.FamaEFEfficientCapitalMarkets:(Ⅱ)1991(46)47.FriendI.BlumeMETheDemandforRiskyAssets1975(65)48.GarciaCB.FJGouldAnEmpiricalStudyofPortfolioInsurance198749.GattoMA.GeskeR.LitzenbergerR.Sosin,HMutualFundInsurance1980(03)50.GemanHPortfolioInsuranceandSyntheticSecurities199251.GrossmanSJAnAnalysisoftheImplicationsforStockandFuturesPriceVolatilityofProgramTradingandDynamicHedgingStrategies1988(60)52.GrossmanSJ.Jean-LucVilaPortfolioInsuranceinCompleteMarkets:Note1989(62)53.GrossmanSJ.JZhouEquilibriumAnalysisofPortfolioInsurance1996(51)54.HakaugluE.RobertK.EmmanuelRConstantPortfolioInsuranceforFixed-IncomeInvestment198955.HarrisLTheOctober1987S&P500stock-futuresbasis1989(01)56.HarrisonJM.DMKrepsMartingalesandArbitrageinMultiperiodSecuritiesMarkets1979(20)57.HarrisonJM.SPliskaMartingalesandStochasticIntegralsintheTheoryofContinuousTrading198158.HarryMMarkowitzPortfolioSelection1952(01)59.HillJM.AJain.RAWoodInsurance:Volatilityriskandfuturesmispricings198860.HoggardT.AEWhalley.PWilmottHedgeingOptionPortfoliointhePresenceofTransactionCost199461.IndrajitBardhan.ChaoXPricingoptionsonsecuritieswithdiscontinuousreturns199362.JamesTLiquidityPreferenceasBehaviortowardsRisk195863.KaratzasIOptimizationProblemsintheTheoryinTheContinuousTrading1989(27)64.KaratzasI.LehoczkyJP.ShreveSEOptimalPortfolioandConsumptionDecisionsforSmallInvestoronaFiniteHorizon1987(25)65.KeppoJOnArbitrage,OptimalPortfolioandEquilibriumunderFrictionsandIncompleteMarkets199866.KouwenbergR.VorstTDynamicPortfolioIns