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Research on Investment Portfolio Optimization and Equilibrium Size under the Circumstance of Networks

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2 Author(s)
Yanli Su ; Vocational Coll., Shenyang Normal Univ., Shenyang, China ; Xintian Zhuang

The investment portfolio problem of financial asset was discussed under the circumstance of financial networks from the angle of capital markets' interconnection. The size-control and risk-control models of investment were established for individual sectors under the non-balance conditions of financial assets and liabilities. The financial instruments' equilibrium problem consisting of multiple sectors was analyzed, and the models describing the equilibrium size and the equilibrium price of system were established under the circumstance of financial networks. Furthermore, the optimal solutions for models of individual sectors and multiple sectors were obtained and the correlations among risks, profits and portfolio sizes are also obtained, given different investment utility functions.

Published in:

Information Science and Engineering (ICISE), 2009 1st International Conference on

Date of Conference:

26-28 Dec. 2009

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