| 完全市场情况下多阶段均值-VaR投资组合优化 |
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| 引用本文： | 张 鹏,张逸菲. 完全市场情况下多阶段均值-VaR投资组合优化[J]. 武汉科技大学学报, 2014, 37(4): 315-320 |
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| 作者姓名： | 张 鹏 张逸菲 |
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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). |
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| 摘 要： | 将VaR风险度量方法拓展到多阶段投资组合优化,提出了完全市场情况下多阶段均值-VaR投资组合模型,该模型的目标函数不具有可分离性。采用嵌入式方法将不可分离的问题转化为可分离的,并运用动态规划方法得到了模型的解析解,即最优投资策略。通过一个算例验证了该模型和求解方法的有效性。
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| 关 键 词： | 多阶段投资组合 均值-VaR 动态规划 最优投资策略 |
| 收稿时间： | 2014-03-09 |
Optimization of the multiperiod mean-VaR portfolio selection in a complete market |
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| Zhang Peng and Zhang Yifei. Optimization of the multiperiod mean-VaR portfolio selection in a complete market[J]. Journal of Wuhan University of Science and Technology, 2014, 37(4): 315-320 |
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| Authors: | Zhang Peng and Zhang Yifei |
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| Affiliation: | 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: | The VaR risk measurement approach was extended to the multiperiod portfolio selection problem, and the multiperiod mean-VaR portfolio investment model in a complete market was proposed. Due to the fact that the objective function of the model is not separable, the embedding method was employed to turn the inseparable problem into a separable one. Then dynamic programming was used and the optimal solution to the model was obtained, which was in fact the optimal investment strategy. The feasibility of the model and the proposed approach was verified by an example. |
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| Keywords: | multiperiod portfolio selection mean-VaR dynamic programming optimal investment strategy |
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