实现可接受性的计算策略
Computing strategies for achieving acceptability
摘要：
我们考虑一个交易者，他希望将他的投资组合引向一组由凸风险度量给出的可接受的财富。我们提出了一个黑箱算法，其输入是股票价格和凸风险度量的联合定律，其输出是初始资本要求的数值和实现可接受性的交易策略的函数形式。我们还证明了所获得的资本的最优性。
英文摘要：
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove optimality of the obtained capital.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
