摘要
考虑交易成本,借款约束和阈值约束,文章提出了具有最小交易量限制的多阶段均值-半方差投资组合模型。该模型是具有路径依赖性的混合整数动态优化问题,还是NP完全问题。文章提出了前向动态规划方法求解。最后,通过一个算例比较不同风险约束下的最优投资策略,从而验证模型和算法的有效性。
In this paper the multi-period mean semivariance portfolio problem is dealt with minimum transaction lots considering,transaction costs,borrowing constraints and threshold constraints.In this case the problem of finding a feasible solution is NP-complete.An optimal investment policy can be generated to help investors not only achieve an optimal return,but also have a good risk control.The multi-period portfolio selection is the mix integer dynamic optimization problem with path dependence.The forward dynamic programming method is designed to obtain the optimal portfolio strategy.Finally,the comparison analysis with borrowing risk-free assets and without risk-free assets in the portfolio selection is provided by a numerical example to illustrate the efficiency of the proposed approaches and the designed algorithm.
出处
《中国管理科学》
CSSCI
北大核心
2016年第7期11-17,共7页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71271161)
国家社科基金资助项目(13BJL0062)
关键词
多阶段投资组合
均值-半方差
最小交易量
借款约束
前向动态规划方法
multi-period portfolio selection
mean semivariance
minimum transaction lots
borrowing constraints
the forward dynamic programming method
