动态半绝对离差投资组合选择模型  

A Dynamic Semi-absolute Deviation Portfolio Selection Model

作　　者：郭福华[1] 邓飞其[1] 

机构地区：[1]华南理工大学系统工程研究所,广东广州510640

出　　处：《系统工程》2006年第9期68-73,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(60274023);广东省自然科学基金资助项目(011629)

摘　　要：考虑连续时间金融市场的投资组合选择问题。在标准的B lack-Scholes型金融市场下,建立了动态均值-半绝对离差投资组合选择模型,研究了模型的求解方法,得到了最优投资组合策略的解析表达式及均值-半绝对离差的有效前沿方程。同时,与动态均值-方差模型作了比较分析。最后,通过实证分析说明了模型的求解方法。A portfolio selection problem in the continuous-time financial market is considered in this paper. In the standard Black-Scholes financial market, a dynamic seml-absolute deviation portfolio selection model is established and the method of solving tiffs model is researched. Explicit expressions for the optimal portfolio strategy and the efficient frontier equation for the dynamic Mean Semi A. D portfolio selection model are obtained. Meanwhile, comparative analysis between dynamic Mean-Variance and Mean-Semi A. D model are made, Finally,the method of solving this model is illustrated by empirical analysis.

关 键 词：半绝对离差 动态投资组合 有效前沿 

分 类 号：F830[经济管理—金融学] O221[理学—运筹学与控制论]