开环策略下多阶段均值-方差投资组合优化研究

发布时间：2018-04-14 16:23

本文选题：多阶段投资 + 组合优化　；参考：《数学的实践与认识》2017年09期

【摘要】：首先研究开环策略下不同财富动态过程的多阶段均值-方差投资组合优化模型,讨论它们的实际意义和计算方法,其中投资比例财富动态过程模型为高度非线性非凸数学规划.进一步研究投资比例财富动态过程模型实际计算问题,并且通过构造辅助模型,给出投资比例两阶段模型的全局解求解方法并通过数值算例和仿真说明该方法的有效性和准确性.最后通过数值算例比较不同财富动态过程在开环策略下和闭环策略下前沿面的关系,结果表明在闭环策略下三种财富过程等价,但是在开环策略下资产财富模型的前沿面最高、资产调整模型的前沿面次之、投资比例多阶段模型的前沿面最低.
[Abstract]:This paper first studies the multi-stage mean-variance portfolio optimization models of different wealth dynamic processes under open-loop strategy, and discusses their practical significance and calculation methods, in which the investment proportional wealth dynamic process model is highly nonlinear non-convex mathematical programming.In this paper, the practical calculation problem of the dynamic process model of investment proportional wealth is further studied, and the auxiliary model is constructed.The global solution of the investment scale two-stage model is presented and the effectiveness and accuracy of the method are illustrated by numerical examples and simulations.Finally, numerical examples are used to compare the relationship between the open loop strategy and the closed loop strategy. The results show that the three wealth processes are equivalent under the closed loop strategy, but the asset wealth model has the highest frontier under the open loop strategy.The frontier of asset adjustment model is the second, and the investment proportion multistage model is the lowest.
【作者单位】：北京大学经济学院;中国民生银行;湖南大学工商管理学院;广东工业大学可拓学与创新方法研究所;
【基金】：国家自然科学基金(61503085)
【分类号】：F830.59

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