| 不允许卖空情况下多阶段均值-方差投资组合优化 |
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| 引用本文： | 张 鹏,曾永泉. 不允许卖空情况下多阶段均值-方差投资组合优化[J]. 武汉科技大学学报, 2015, 38(4): 316-320 |
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| 作者姓名： | 张 鹏 曾永泉 |
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| 作者单位： | 武汉科技大学管理学院,湖北 武汉,430081,华中师范大学社会学院,湖北 武汉,430079 |
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| 基金项目： | 国家自然科学基金资助项目(71271161)；国家社会科学基金资助项目(13BJL0062). |
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| 摘 要： | 提出了不允许卖空情况下终期财富最大化的多阶段均值-方差投资组合模型,其目标函数不具有可分离性。将该模型嵌入到一个辅助模型中,从而转化为目标函数可分离的动态规划问题,并用离散近似迭代法进行求解。最后采用源自上海证券交易所的实证数据验证了该模型和算法的有效性。
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| 关 键 词： | 投资组合 均值-方差 离散近似迭代法 卖空 财富最大化 |
Optimization of multiperiod mean-variance portfolio selection without short sales |
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| Zhang Peng and Zeng Yongquan. Optimization of multiperiod mean-variance portfolio selection without short sales[J]. Journal of Wuhan University of Science and Technology, 2015, 38(4): 316-320 |
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| Authors: | Zhang Peng and Zeng Yongquan |
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| Affiliation: | College of Management, Wuhan University of Sciennce and Technology, Wuhan 430081, China and College of Sociology, Central China Normal University, Wuhan 430079, China |
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| Abstract: | This paper proposes a multiperiod mean-variance portfolio selection model aiming at terminal wealth maximization without short sales,and its objective function is inseparable. The original model is turned to a dynamic programming problem with separable objective function by embedding it in an auxiliary model, which can be solved by the discrete approximate iteration method. Finally, an example using the real data from Shanghai Stock Exchange is given to illustrate the effectiveness of the model and algorithm. |
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| Keywords: | portfolio selection mean-variance discrete approximate iteration short sale wealth maximization |
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