多阶段M-SV投资组合优化的离散近似迭代法研究  

THE DISCRETE APPROXIMATE ITERATION METHOD ON THE MEAN-SEMI VARIANCE MULTIPERIOD PORTFOLIO SELECTION

作　　者：张鹏[1] 

机构地区：[1]武汉科技大学管理学院,湖北武汉430081

出　　处：《经济数学》2008年第3期257-264,共8页Journal of Quantitative Economics

基　　金：教育部人文社科研究项目(No.08JC630062);湖北省教育厅人文社科研究项目(No.2008q115);武汉科技大学校基金项目(No.2008XY33)

摘　　要：文章提出了离散近似迭代法,用该方法求解具有交易成本和交易量限制的多阶段均值-半方差(M-SV)投资组合模型.离散近似迭代方法的基本思路为:首先,将连续型状态变量离散化,根据网络图的构造方法将上述模型转化多阶段赋权有向图;其次,运用嘉量原理求出起点至终点的最长路程,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.文章还证明了该方法的收敛性和复杂性.The paper proposes the discrete approximate iteration method, and uses it to solve the mulfiperiod mean-semivariance porfolio selection model with the transaction costs and the constraints on trade volumes. Firstly, according to the network method, discretizes the state variables and transforms tile model into multiperiod weighted digraph; Secondly, uses Jar-metric principle to solve the maximal path that is the admissible solution; At last, continues iterating until the two admissible solution is near based on the admissible solution. The paper also proves the convergence and complex of the method.

关 键 词：多阶段投资组合 离散近似迭代法 嘉量原理 旋转算法 

分 类 号：F224.9[经济管理—国民经济] O221.2[理学—运筹学与控制论]