Managing Guarantees
针对担心金融市场下行风险的投资者，提出一个动态随机优化模型来管理具有名义或实际担保的产品，通过最优动态组合分配和风险管理，在客户风险厌恶下提供最佳回报，并用1999-2004年数据回测验证。
We have seen in recent years a significant growth in investment products aimed at investors who are worried about downside potential in the financial markets. One response is a dynamic stochastic optimization model for managing products with nominal or real guarantees. An optimal dynamic portfolio allocation strategy combined with risk management allows an institution to provide the best possible portfolio returns commensurate with clients' risk aversion. Implementation of such an investment strategy is illustrated using real market data and backtested through 1999–2004. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>risk management</ext-link>, <ext-link>portfolio theory</ext-link>