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Optimal Portfolio Selection Based On Black-Scholes Model Theory

Posted on:2007-05-06Degree:MasterType:Thesis
Country:ChinaCandidate:G J ZhangFull Text:PDF
GTID:2189360212972203Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
Portfolios theory is one of the most important research contents in Economics. Modern portfolios are the bases of modern finance and modern investment. It mostly research to maximum the utility balanced the come in and risk. Inl973, two great finance theorists and practices Fisher Black and Myron Scholes posed Black-Scholes formula, an explicit formula of the pricing of European securities. It greatly describes the rules which the securities obeyed. So it is very important to research the portfolios based on Black-Scholes formula.In this dissertation, on the basis of Black-Scholes formula, We studied the portfolios.In Chapter 1, Firstly we introduced the history of the portfolios and finance; Secondly, we introduced the history of the utility. Thirdly, we introduced the presents of portfolios and introduce what we will do.In Chapter 2, Firstly, we review the classical E-V portfolio models. S-econdly, we review the multiperiod E-V portfolio model. Thirdly, we establish four portfolios models based on the Black-Scholes formula and establish a auxiliary question.In Chapter 3, Used the multiple ito integral we solve the auxiliary question and we find the fist and second moment of the wealth without compute the stochastic differential equation.In Chapter 4, Firstly, We give and prove the relationship between model II III IV and the auxiliary question. On the basis of the relationship we solve the mode II % III IV. Secondly, We give and prove the relationship between model I % II and the model III. On the basis of the relationship we solve the model I and II.In Chapter 5, We summarize the main result of the dissertation and point out the weakness of this dissertation and some issues remaining unsolved.
Keywords/Search Tags:Black-Scholes formula, Portfolio, Multiple ito equation, Utility
PDF Full Text Request
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