摘要
实际中的投资行为都是一个持续不断、贯穿各阶段的过程，单阶段的组合优化方法不能有效地指导实际中的多阶段投资过程。本文重点探讨了在证券统计特征不变的前提下，应如何选择多阶段组合优化策略（ｗ１，ｗ２，…，ｗＴ），并用动态规划的理论方法，研究并给出了求解多阶段投资组合优化的过程和公式，最后，通过一个例子直观地说明了单阶段展期策略不是最优的。
Real investment is a continual or multiperiod process,the optimal portfolio of single period can not be efficient in the situation. This paper mainly address how to select optimal portfolio in multiperiod horizon under unchanged statistical characteristics of securities. The results are given as a series of formular or a solving process. Lastly, a numerical example is given to show directly that the solution is more efficient than the single period rolling strategy.
出处
《管理工程学报》
CSSCI
1996年第3期163-167,共5页
Journal of Industrial Engineering and Engineering Management
