【风险管理】动态分配策略回顾（Matlab实现）

@橘柑橙柠桔柚

于 2024-06-21 21:43:54 发布

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文章标签： matlab 开发语言

本文链接：https://blog.csdn.net/weixin_61181717/article/details/139870582

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“在代码的海洋里，有无尽的知识等待你去发现。我就是那艘领航的船，带你乘风破浪，驶向代码的彼岸。

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📋📋📋本文目录如下：🎁🎁🎁

目录

💥1 概述

📚2 运行结果

🎉3 参考文献

🌈4 Matlab代码实现

💥1 概述

本次对动态分配策略进行了回顾。动态分配策略用于有效管理和分配资源及任务。常见策略如基于优先级、负载均衡和预测模型等。这些策略各有优缺点，基于优先级可能造成低优先级任务等待，负载均衡要应对复杂任务需求调整，预测模型依赖数据质量。通过案例和实验对比了不同策略性能，发现没有通用最优策略，需根据具体情况选择。还探讨了面临的变化环境等挑战，对未来研究和应用提出持续创新优化的期望。

📚2 运行结果

部分代码：

% - CPPI - constant proportion portfolio insurance 
% - delta-based option replication 

% This script illustrates popular dynamic strategies

clear; clc; close all; 
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% input parameters

Initial_Investment = 1000;
Time_Horizon = 6/12; % in years
Time_Step = 1/252; % in years
Strategy = 2; % 1=Constant exposures; 2=Buy&Hold; 3=CPPI; 4=Delta Hedging

m=0.2;  % yearly expected return on the underlying
s=0.40; % yearly expected percentage volatility on the stock index
r=0.04; % risk-free (money market) interest rate

NumSimul=30000;

%%%%%%%%%%%%%%%%%%%%%%%%%%
if Strategy==1 % Constant exposures
    % amount to be invested in the underlying? e.g.: 50
    Prct = 50 ;
end
if Strategy==2 % Buy&Hold
    % proportion of underlying you want to hold in the beginning, e.g.: 50
    Prct = 50 ;
end
if Strategy==3 % CPPI
    % floor today (will evolve at the risk-free rate), e.g.: 950
    Floor = 980; 
    % leverage on the cushion between your money and the floor, e.g. 3
    Multiple_CPPI = 5; 
end
if Strategy==4 % Delta Hedging
    % level of aggressivness bw 0 and 1
    Aggressivness = .2;
end