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

doi:10.1080/00207720902985385

	Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
	Yan, Wei 1,2; Li, Shurong 2
刊名	INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
	2009
卷号	40 期号:11 页码:1139-1148
关键词	four-factor model multi-period semi-variance portfolio exchange rate futures hybrid GA with PSO economic systems finance partial differential equations genetic algorithms
ISSN号	0020-7721
DOI	10.1080/00207720902985385
英文摘要	Considering the stochastic exchange rate, a four-factor futures model with the underling asset, convenience yield, instantaneous risk-free interest rate and exchange rate, is established. These processes follow jump-diffusion processes (Weiner process and Poisson process). The corresponding partial differential equation (PDE) with terminal boundary condition of the model is drawn. The general solution with parameters of the above PDE is derived. The parameters are estimated by using the weight least squares approach with historical data for special cases. For the objective of risk assessment, downside risk has impacted on the practitioner's view of risk apparently. Variance is substituted by semi-variance. Moreover, one period portfolio selection is extended to multi-period. A class of multi-period semi-variance model is formulated. A hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. Finally, in order to demonstrate the effectiveness of the theoretical models and numerical methods, fuel futures in the Shanghai exchange market is selected to be an example.
WOS研究方向	Automation & Control Systems ; Computer Science ; Operations Research & Management Science
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000271614300004
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/7049]
专题	中国科学院数学与系统科学研究院
通讯作者	Yan, Wei
作者单位	1.Chinese Acad Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China 2.China Univ Petr, Coll Informat & Control Engn, Dongying 257061, Shandong, Peoples R China
推荐引用方式 GB/T 7714	Yan, Wei,Li, Shurong. Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2009,40(11):1139-1148.
APA	Yan, Wei,&Li, Shurong.(2009).Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,40(11),1139-1148.
MLA	Yan, Wei,et al."Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 40.11(2009):1139-1148.