有交易费用和高阶矩的最优投资组合问题  

An Optimal Portfolio Selection Model with Transaction Costs under the Constraint of Higher Moments

作　　者：陈志娟[1] 叶中行[2] 

机构地区：[1]厦门大学金融系,厦门361005 [2]上海交通大学数学系,上海200240

出　　处：《上海交通大学学报》2008年第3期500-503,507,共5页Journal of Shanghai Jiaotong University

基　　金：国家重点基础研究发展规划(973)项目(2007CB814903);国家自然科学基金资助项目(70671069)

摘　　要：讨论了有交易费用的、包括偏度和峰度在内的高阶矩约束的多目标最优投资组合选择模型.将该模型转化为单目标最优化问题,利用线性逼近的方法讨论了在有交易费用时规划问题的近似转化;给出了具体算例;分析了参数对最优目标的影响.A portfolio selection model with transaction costs under the constraint of higher moments such as skewness and kurtosis was discussed. The original model was transferred to a single objective optimization model. Using linear approaching method, this model was transferred approximately to a linear programming model. A numerical example was given. Finally, the relationship between the objective and the parameters was discussed.

关 键 词：最优投资组合 线性规划 交易费用 偏度 峰度 

分 类 号：O22[理学—运筹学与控制论] F830.9[理学—数学]