基于安全资本增长策略的多阶段资产配置模型

在安全资本增长策略的基础上，建立了安全资本增长的多阶段资产配置模型。并以中国证券市场为依托，对多阶段资产配置进行了实证研究。文中资产配置问题考虑了未来的经济环境的不确定性，采用情景生成的方法采处理不确定的风险资产收益，不同资产间的投资分配比例在每期期初都要进行调整，同时考虑了风险约束，对模型采用遗传算法，得到了控制风险条件下最大期末财富的资产配置策略。

Multistage Asset Allocation Based on Capital Growth in Security

The multistage Asset Allocation is established based on capital growth with security. Empirical research towards the multistage asset allocation is carried out against a background of domestic equity market. The uncertainty of future economic environment is considered and .scenario generation is used to deal with the future uncertainty of rate of returns of risky assets. The asset allocation is rebalanced at the beginning of every stage and risk constraints are considered at the same time. Genetic algorithm is used to solve the model. The asset allocation strategy which gives the maximum final wealth under the risk constraints is obtained at last.