摘要
建立二阶随机占优约束的保险资金资产组合优化模型,论述模型的罚问题,并在保险资金的收益率和基准收益率都为离散有限分布的情况下,用光滑化方法来处理模型,从而简化了模型的求解。为保险公司的资产组合及最优投资比例提供了一种可借鉴的思路。
The portfolio optimization model of insurance funds with second-order stochastic dominance constraints is established. The penalty problem of the model is discussed, and under the condition that the return rates and benchmark return rates of insurance funds are discrete finitely distribution, the model is processed by smoothing approach and the solution of the model is simplified. Provides a reference idea for the portfolio of insurance companies and the optimal ratio of investment.
出处
《湖南工业大学学报》
2013年第2期99-104,共6页
Journal of Hunan University of Technology
基金
国家自然科学基金资助项目(51075345)
关键词
保险资金
资产组合优化
随机占优
光滑化方法
insurance funds
portfolio optimization
stochastic dominance
smoothing approach
