摩擦市场中最优证券组合选择的极大极小法  

A Minimax Approach to the Optimal Portfolio Selection for Stock Markets with Friction

作　　者：刘明明[1] 高岩[1] 

机构地区：[1]上海理工大学管理学院

出　　处：《数学的实践与认识》2008年第20期16-23,共8页Mathematics in Practice and Theory

基　　金：上海市重点学科建设项目资助(T0502);上海市基础研究重点项目(06JC14057)

摘　　要：在考虑交易成本的基础上,构造最优投资组合选择的极大极小模型,同时允许投资者卖空风险资产.在求解过程中,针对出现的非光滑函数,通过引入极大熵函数用光滑问题来逼近非光滑问题.最后推导出连续可微的方程组,可采用经典牛顿法求解.数值分析验证了该方法的有效性.We take the cost into account, and construct a minimax model for selecting optimal portfolio, meanwhile short sales of risk assets is permitted. In the process of solving, maximum entropy function is introduced and the initial nonsmooth problem is approximated by a smooth one. Finally, the classical Newton method is used to solve the smooth equations. The numerical analysis shows the validity of the method.

关 键 词：极大极小法 交易成本 投资组合理论 优化 

分 类 号：F830.91[经济管理—金融学] F224