具有最小交易量限制的多阶段均值-半方差投资组合优化

doi:10.16381/j.cnki.issn1003-207x.2016.07.002

中国管理科学 ›› 2016, Vol. 24 ›› Issue (7): 11-17.doi: 10.16381/j.cnki.issn1003-207x.2016.07.002

具有最小交易量限制的多阶段均值-半方差投资组合优化

张鹏¹, 张卫国², 张逸菲³

1. 武汉理工大学经济学院, 湖北武汉 430070;
2. 华南理工大学工商管理学院, 广东广州 510641;
3. 武汉科技大学管理学院, 湖北武汉 430081

收稿日期:2013-12-29 修回日期:2015-01-04 出版日期:2016-07-20 发布日期:2016-07-27
通讯作者: 张鹏(1975-),男(汉族),江西吉安人,武汉理工大学经济学院教授,工学博士,研究方向:投资组合优化、金融工程,E-mail:zhangpeng300478@aliyun.com E-mail:zhangpeng300478@aliyun.com
基金资助:
国家自然科学基金资助项目（71271161）；国家社科基金资助项目（13BJL0062）

Multi-period Mean-semivariance Portfolio Selection with Minimum Transaction Lots Constraints

ZHANG Peng¹, ZHANG Wei-Guo², ZHANG Yi-fei³

1. School of Economics, Wuhan University of Technology, Wuhan 430070, China;
2. School of Business Administration, South China University of Technology, Guangzhou 510641, China;
3. School of Management, Wuhan University of Science and Technology, Wuhan 430081, China

Received:2013-12-29 Revised:2015-01-04 Online:2016-07-20 Published:2016-07-27

摘要/Abstract

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。

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

Abstract: 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.

Key words: multi-period portfolio selection, mean semivariance, minimum transaction lots, borrowing constraints, the forward dynamic programming method

中图分类号:

F830

张鹏, 张卫国, 张逸菲. 具有最小交易量限制的多阶段均值-半方差投资组合优化[J]. 中国管理科学, 2016, 24(7): 11-17.

ZHANG Peng, ZHANG Wei-Guo, ZHANG Yi-fei. Multi-period Mean-semivariance Portfolio Selection with Minimum Transaction Lots Constraints[J]. Chinese Journal of Management Science, 2016, 24(7): 11-17.

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具有最小交易量限制的多阶段均值-半方差投资组合优化

Multi-period Mean-semivariance Portfolio Selection with Minimum Transaction Lots Constraints

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