标题:
分数布朗运动环境下的资产配置策略多期收益保证价值的测算Pricing Multi-Period Return Guarantees Combined with Asset Allocation Strategy under Fractional Brownian Motion
作者:
邓艳莲, 陆允生
关键字:
分数布朗运动, 拟条件期望, CM策略, CPPI策略Fractional Brownian Motion, Quasi-Conditional Expectation, CM Strategy, CPPI Strategy
期刊名称:
《Finance》, Vol.6 No.2, 2016-04-21
摘要:
本文考虑Hurst指数大于二分之一的分数布朗运动驱动的风险性资产价格过程，结合Wick-Itô积分和拟条件期望，讨论了分数布朗运动环境下结合CM策略和CPPI策略的多期收益保证价值，通过数值模拟，比较分析了多期保证期限、金融市场重要参数和资产配置策略参数对两策略下多期保证价值的影响。
In this paper, we consider that the price processes of risky assets are driven by fractional Brownian motion (1/2