Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection

DOI10.1080/00207720902985385zbMath1292.91178OpenAlexW2117759628MaRDI QIDQ5494679

Wei Yan, Shu-Rong Li

Publication date: 29 July 2014

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207720902985385

zbMATH Keywords

genetic algorithmspartial differential equationsfinancefuturesexchange rateeconomic systemsfour-factor modelhybrid GA with PSOmulti-period semi-variance portfolio

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Diversified models for portfolio selection based on uncertain semivariance ⋮ Optimal control of LQG problem with an explicit trade-off between mean and variance ⋮ Continuous-time safety-first portfolio selection with jump-diffusion processes

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