面向组合投资决策的拉格朗日优化方法

发布时间：2018-06-07 13:53

本文选题：组合投资决策 + 拉格朗日乘子法　；参考：《统计与决策》2014年08期

【摘要】：组合投资问题是企业日常面临的非常重要的决策问题,该问题通常可抽象为连续动态优化问题。文章提出了一种面向组合投资决策的拉格朗日优化方法。基于Pontryagin最大值原理而构建,由于Pontryagin最大值原理可用于随机模型,故本方法避免了求解价值函数的贝尔曼方程。通过在投资组合决策问题中的应用说明了本方法的正确性和可行性。
[Abstract]:Portfolio investment problem is a very important decision problem faced by enterprises on a daily basis. This problem can be abstracted as a continuous dynamic optimization problem. In this paper, a Lagrange optimization method for portfolio investment decision is proposed. Based on the Pontryagin maximum principle, the Pontryagin maximum principle can be used in the stochastic model, so this method avoids solving the Berman equation of the value function. The correctness and feasibility of this method are proved by the application in portfolio decision problem.
【作者单位】：中南财经政法大学金融学院;
【基金】：国家社科基金资助项目(10XJY0023) 中南财经政法大学科研资助项目(2012B0408)
【分类号】：F224;F830.59

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