基于偏度的多期证券投资组合模型研究
发布时间：2019-07-29 09:49
【摘要】：在考虑资产收益率分布中正的偏度水平前提下,以风险价值VaR为约束条件,并引入非线性交易费用、税收等市场摩擦因素,建立以累积偏度最大为目标函数的多期投资组合优化模型,用罚函数法和PSO算法结合求解此模型,并给出实证分析。考虑到在买卖资产风险时交易费用等对投资收益的影响,投资者应该在每一期都对其资产组合进行调整分析,确保在每一期的开始都建立起符合需要的最优资产组合,这对投资者的连续投资行为具有一定的指导意义。
[Abstract]:On the premise of considering the positive skewness level in the distribution of return on assets, taking the risk value VaR as the constraint condition and introducing nonlinear transaction costs, taxes and other market friction factors, a multi-period portfolio optimization model with the maximum cumulative skewness as the objective function is established. The model is solved by penalty function method and PSO algorithm, and the empirical analysis is given. Considering the influence of transaction cost on investment return when buying and selling asset risk, investors should adjust and analyze their asset portfolio in each phase to ensure that the optimal portfolio is established at the beginning of each phase, which has certain guiding significance for investors' continuous investment behavior.
【作者单位】： 北方民族大学信息与系统科学研究所;宁夏大学数学与计算机学院;
【基金】：国家社会科学基金项目,项目编号:07XJY038 国家教育部社科规划项目,项目编号:06JA630056
【分类号】：F224;F830.91
[Abstract]:On the premise of considering the positive skewness level in the distribution of return on assets, taking the risk value VaR as the constraint condition and introducing nonlinear transaction costs, taxes and other market friction factors, a multi-period portfolio optimization model with the maximum cumulative skewness as the objective function is established. The model is solved by penalty function method and PSO algorithm, and the empirical analysis is given. Considering the influence of transaction cost on investment return when buying and selling asset risk, investors should adjust and analyze their asset portfolio in each phase to ensure that the optimal portfolio is established at the beginning of each phase, which has certain guiding significance for investors' continuous investment behavior.
【作者单位】： 北方民族大学信息与系统科学研究所;宁夏大学数学与计算机学院;
【基金】：国家社会科学基金项目,项目编号:07XJY038 国家教育部社科规划项目,项目编号:06JA630056
【分类号】：F224;F830.91
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