Optimal Portfolio Strategies Under the Environment with Uncertainties

• Main Authors: Chengwei Qin, 秦承偉
• Other Authors: Cheng-Der Fuh
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/33165452395868015069

碩士 === 國立中央大學 === 統計研究所 === 101 === Mostly, investors fail to accurately determine the length of the investment horizon. In many cases, the investment will stop because of some unexpected accidents such as the death of the agent. But sometimes they may have other informations related to the length of horizon which can give them an access to optimize their portfolio strategies. In this paper, we concentrate on investigating how will the portfolio strategies be eected by the stochastic time-horizon and other two uncertainties including returns predictability and parameter uncertainty. Our research will involve two dierent investment philosophies. Firstly, we analyse the buy-and-hold strategy by a discrete-time model so that the portfolio choice can be static until the investment gets nished. On the other hand, we propose the continuous-process when considering the allocation weights are dynamic which means the strategies will be changed over time. Our primary purposes for both of them are trying to nd the optimal strategies which can maximize the wealth in terminal time.