| 基于线性矩阵不等式的动态投资组合鲁棒策略 |
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| 引用本文： | 高莹,黄小原.基于线性矩阵不等式的动态投资组合鲁棒策略[J].系统管理学报,2008,17(4). |
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| 作者姓名： | 高莹 黄小原 |
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| 作者单位： | 东北大学,工商管理学院,沈阳,110004 |
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| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研项目，辽宁省科技计划 |
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| 摘 要： | 考虑证券市场股票期望收益和协方差矩阵的不确定性,研究了基于线性矩阵不等式的动态投资组合鲁棒策略问题.在跟踪误差投资组合模型和鲁棒优化方法的基础上,提出了一种动态投资组合鲁棒策略和求解算法,采用上海证券市场交易数据,运用线性矩阵不等式进行了实证分析.结果表明,基于线性矩阵不等式的动态投资组合鲁棒策略是有效、可行的.
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| 关 键 词： | 线性矩阵不等式 投资组合 鲁棒优化 跟踪误差 |
Robust Strategy for Dynamic Portfolio Based on Linear Matrix Inequalities |
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| GAO Ying,HUANG Xiao-Yuan.Robust Strategy for Dynamic Portfolio Based on Linear Matrix Inequalities[J].Systems Engineering Theory·Methodology·Applications,2008,17(4). |
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| Authors: | GAO Ying HUANG Xiao-Yuan |
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| Institution: | School of Business and Administration;Northeastern University;Shenyang 110004;China |
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| Abstract: | This paper takes account of the uncertainty of the expected return and covariant matrix in the stock market,and study the robust strategy of dynamic portfolio using linear matrix inequalities(LMI).On the foundation of tracking error portfolio model and robust optimization,we put forward a robust strategy of dynamic portfolio and develop a algorithm to solve it.The empirical analysis is given by the use of LMI according to the data from Shanghai Stock Exchange.The result indicates that the robust strategy of... |
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