含有背景风险的双目标投资组合模型研究

发布时间：2018-05-19 09:38

本文选题：投资组合 + 背景风险　；参考：《运筹与管理》2017年04期

【摘要】：投资者进行投资实践时无不面临着背景风险。绝大多数以均值方差为框架的投资组合并没有考虑背景风险,其效用在实际应用中容易受到背景风险的影响。本文在含有交易费用的双目标函数模型中引入背景风险,从是否含有背景风险和背景风险偏好度大小两方面对投资组合问题展开研究,并使用智能算法得到模型的最优解,对模型进行实证分析。实证结果表明:1)当背景风险收益为0时,含有背景风险的投资组合比不含有背景风险的投资组合更能反映真实的投资环境。2)当背景风险收益不为0时,含有背景风险的投资组合比不含有背景风险的投资组合得到更高的收益。因此,考虑背景风险后投资组合的构建优于不考虑背景风险投资组合的构建。
[Abstract]:Investors are faced with background risks when they invest in practice. Most portfolios based on mean variance do not take background risk into account, and their utility is easily influenced by background risk in practical application. In this paper, the background risk is introduced into the two-objective function model with transaction costs. The portfolio problem is studied from the aspects of whether or not it contains background risk and the degree of preference for background risk, and the optimal solution of the model is obtained by using intelligent algorithm. Empirical analysis of the model. The empirical results show that when the return on background risk is 0, the portfolio with background risk can better reflect the real investment environment than the portfolio without background risk. A portfolio with a background risk yields a higher return than a portfolio without a background risk. Therefore, the construction of portfolio after considering background risk is better than that without considering background risk.
【作者单位】：华南理工大学工商管理学院;
【基金】：国家自然科学基金(71171086) 国家社科基金重大项目(11&ZD156) 中央高校基本业务费滚动项目资助(2015GD05) 广州市金融服务创新与风险管理基金
【分类号】：F830.59

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