| 动态组合证券投资决策非线性递推规划模型 |
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| 引用本文： | 杨德权,杨德礼,胡运权.动态组合证券投资决策非线性递推规划模型[J].大连理工大学学报,2000,40(5):625-630. |
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| 作者姓名： | 杨德权 杨德礼 胡运权 |
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| 作者单位： | 1. 大连理工大学,系统工程研究所,辽宁,大连,116024
2. 哈尔滨工业大学,管理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 针对现有动态组合证券投资决策方法的不足，引入递推规划的思想和方法建立了动态组合证券投资决策的非线性递推规划模型，该模型将股票价格预测的状态空间模型、投资机会集确定方法、均值方差模型、资产负债管理的网络模型和证券组合总体风险的自适应控制方法有机地结合起来，给出了一种新的具有可操作性的动态组合证券投资方法，并通过中国股票市场中３５种股票构成的数据样本验证了所建模型的有效性和适用性。
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| 关 键 词： | 投资模型 证券组合 递推规划 投资决策 |
On non-linear recursive programming approach of dynamic portfolio investment |
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| YANG De-quan,YANG De-li,HU Yun-quan.On non-linear recursive programming approach of dynamic portfolio investment[J].Journal of Dalian University of Technology,2000,40(5):625-630. |
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| Authors: | YANG De-quan YANG De-li HU Yun-quan |
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| Institution: | YANG De quan 1,YANG De li 1,HU Yun quan 2 |
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| Abstract: | In allusion to the shortcomings of the current dynamic portfolio investment decision methods, this paper presents a non linear recursive programming approach for dynamic portfolio investment decision through the introduction of recursive programming. The approach combines state space model of stock price forecasting, opportunity set determining method, mean variance model, net work model of asset liabilities management, and total risk adaptive control method, constitutes a new maneuverability dynamic portfolio investment decision method. The efficiency and the applicability of the method are verified based on a data sample made up of 35 stocks coming from Chinese stock markets. |
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| Keywords: | investment model/portfolio recursive programming investment decision |
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