The returns and risks of investment portfolio in stock market crashes

被引：10
|
作者：
Li, Jiang-Cheng [1 ]
Long, Chao [1 ]
Chen, Xiao-Dan [1 ]
机构：
[1] Yunnan Univ Finance & Econ, Sch Finance, Kunming 650221, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2015年 / 427卷
基金：
中国国家自然科学基金;
关键词：
Financial markets; Heston model; Investment portfolio; The mean escape time; Returns and risks; STOCHASTIC VOLATILITY; FINANCIAL MARKET; HESTON MODEL; INCOMPLETE MARKETS; TIME; FLUCTUATIONS;
D O I：
10.1016/j.physa.2015.02.018
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the mean escape time of the model, the results indicate that: (i) the maximum stability of returns is associated with the maximum dispersion of investment portfolio and an optimal stop-loss position; (ii) the maximum risks are related with a worst dispersion of investment portfolio and the risks of investment portfolio are enhanced by increasing stop-loss position. In addition, the good agreements between the theoretical result and real market data are found in the behaviors of the probability density function and the mean escape time. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：282 / 288
页数：7
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