机会约束下的含有资本结构因子和交易成本的均值-VaR投资组合模型  

An Chance-Constrained Mean-VaR Portfolio Model with Capital Structure and Transaction Costs

作　　者：李宏杰[1,2] 

机构地区：[1]东华大学信息科学与技术学院,上海200051 [2]嘉兴学院数学系,浙江嘉兴314001

出　　处：《中国管理科学》2008年第3期31-36,共6页Chinese Journal of Management Science

摘　　要：本文在均值-方差模型和机会约束模型的基础上,提出了在允许卖空时的一类机会约束下含有资本结构因子和交易成本的均值-VaR证券投资组合模型,以期望收益率与置信水平为导向,在假设收益率服从正态分布的条件下,建立了其数学模型,并讨论了最优解的存在性和唯一性,以及最优解的解析表达式。the paper combines the advantages of both the mean-VaR model and the chance--constrained programming model and presents an chance--constrained portfolio problem with transaction costs and varying capital structure factor in short selling, which is determined by expected rate of return and confidence level. Its mathematical model is established, and the properties of existence and uniqueness of the optimal solution are discussed. Moreover, the explicit representation of the optimal solution is given.

关 键 词：风险价值 机会约束规划 资本结构因子 交易成本 有效边界 

分 类 号：O221[理学—运筹学与控制论] F830.9[理学—数学]