有高阶矩约束的最优投资组合模型及近似线性规划解法  

Portfolio Selection Model Under Higher Moment Constraints and its Approximate Linear Programming Solution

作　　者：陈志娟[1,2] 叶中行[2] 

机构地区：[1]厦门大学金融系,福建361005 [2]上海交通大学数学系和现代金融研究中心,上海200240

出　　处：《工程数学学报》2008年第6期1005-1012,共8页Chinese Journal of Engineering Mathematics

基　　金：国家重点基础研究发展计划973项目(2007CB814903);国家自然科学基金(70671069)

摘　　要：本文讨论有包括偏度和峰度在内的高阶矩约束的最优投资组合模型。证明了最优投资组合决策的存在性并导出解析解的隐式表达式,然后利用线性逼近的方法得到近似解,并给出了具体算例,最后分析了模型中的权重参数对最优目标的影响。A portfolio selection model under higher moment constraints such as skewness and kurtosis is discussed. The existence of the optimal solution is proved and the implicit analytic the solution is derived. After transforming the original model approximately to a linear programming model, a numerical example is given and the relationship between the optimum and the parameters is discussed.

关 键 词：偏度 峰度 高阶矩 最优投资组合 线性规划 

分 类 号：O221[理学—运筹学与控制论] F830.9[理学—数学]