مهندسی پورتفوی حداکثرسازی مطلوبیت لگاریتمی با کنترل ورشکستگی: یک چارچوب برآورد ناپارامتری

Under the assumption that investors have the logarithm utility function, this paper adopts the methodology of nonparametric estimation and the expected utility maximization (EUM) model to explore a portfolio engineering problem with bankruptcy control. First, we obtain the nonparametric estimated calculation formula for expected utility by using the nonparametric estimation. Then, sequential quadratic programming (SQP) algorithm for the optimal investment strategy of the EUM model is given. Finally, a numerical portfolio engineering example based on real data of Chinese stock market is presented.