| 基于下半方差的债券投资组合模型 |
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| 引用本文： | 王延章,蔡建波,张茂军,南江霞.基于下半方差的债券投资组合模型[J].系统工程,2012(4):32-38. |
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| 作者姓名： | 王延章 蔡建波 张茂军 南江霞 |
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| 作者单位： | 大连理工大学管理与经济学部;桂林电子科技大学数学与计算科学学院 |
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| 基金项目： | 国家自然科学基金资助项目(71001015;71101033;71172136) |
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| 摘 要： | 用下半方差作为风险度量构建了债券投资组合模型,研究投资者的债券投资问题。在理论上分析了模型最优解的存在性,并且证明了模型具有全局最优解。为了得到最优债券投资组合策略,依据模型的随机属性,构造了求解模型的蒙特卡罗罚函数算法,并且证明了算法的收敛性。给出了相应的数值算例验证模型的有效性。
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| 关 键 词： | 下半方差 债券投资 蒙特卡罗模拟 随机优化 |
A Bond Portfolio Model Based on a Semi-variance Risk Measure |
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| WANG Yan-zhang,CAI Jian-bo,ZHANG Mao-jun,NAN Jiang-xia.A Bond Portfolio Model Based on a Semi-variance Risk Measure[J].Systems Engineering,2012(4):32-38. |
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| Authors: | WANG Yan-zhang CAI Jian-bo ZHANG Mao-jun NAN Jiang-xia |
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| Institution: | 1.School of Management and Economics,Dalian University of Technology,Dalian 116024,China;2.School of Mathematics and Computing Sciences,Guilin University of Electronic Technology,Guilin 541004,China) |
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| Abstract: | In this paper,a semi-variance as a risk measure is used to set up a bond portfolio model in order to research a problem of the bank investment in bond.We analyze the existence of the optimal solution to the model,and prove that the solution is a global solution to the model.Moreover,a Monte Carlo penalty function algorithm is constructed to get the optimal portfolio policies via the random attribute of the model,and prove the convergence of the algorithm.The corresponding numerical examples are given to illustrate the validity of the model. |
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| Keywords: | Semi-variance Bond Portfolio Monte Carlo Simulation Stochastic Optimization |
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