| 具有熵约束的均值-CVaR投资组合决策研究 |
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| 作者姓名： | 张 鹏 曾玉婷 |
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| 作者单位： | 武汉科技大学管理学院,湖北 武汉,430081;武汉科技大学管理学院,湖北 武汉,430081 |
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| 基金项目： | 国家自然科学基金资助项目(71271161)；湖北省自然科学基金资助项目(2010CDB03304)；湖北省社会科学基金资助项目(2011LJ078). |
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| 摘 要： | 结合条件风险价值CVaR和熵风险度量方法,提出不允许卖空情况下具有熵约束的均值-CVaR投资组合模型,并采用序列二次规划和不等式组的旋转算法进行求解,最后通过一个具体实例验证了上述模型和算法的有效性。
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| 关 键 词： | 投资组合 均值-CVaR 熵 序列二次规划 旋转算法 |
| 收稿时间： | 2013/9/18 0:00:00 |
Mean-CVaR portfolio selection with the constraint of entropy |
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| Authors: | Zhang Peng and Zeng Yuting |
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| Institution: | College of Management, Wuhan University of Science and Technology, Wuhan 430081, China;College of Management, Wuhan University of Science and Technology, Wuhan 430081, China |
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| Abstract: | With the risk measurement of the CVaR and entropy considered, the paper proposes the mean-CVaR portfolio selection model with the constraint of the entropy, and uses the pivoting algorithm and sequence of quadratic programming method to solve the model. The algorithms and models are proved efficient by an empirical research. |
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| Keywords: | portfolio mean-CVaR entropy sequence of quadratic programming pivoting algorithm |
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