非确定性条件下的投资组合分析及实证研究  

Analysis and empirical research on portfolio under uncertainty

作　　者：顾能柱[1] 高岩[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《上海理工大学学报》2009年第1期45-48,共4页Journal of University of Shanghai For Science and Technology

基　　金：上海市科委基础重点研究资助项目(06JC14057);上海市重点学科建设资助项目(T0502)

摘　　要：针对风险资产的收益具有不确定性的特征,结合稳健优化理论计算的投资组合问题,分析了稳健优化计算存在的计量风险偏大及投资组合最优解得不到保证的局限性,提出了一个基于情景分析及用随机线性规划计算的改进方法.并通过国内证券市场数据验证了所提方法的有效性.Uncertainty of return is an obvious character of risk asset. Portfolio problems combined with robust optimization theory have received extensive attention recently. The limitations that the computing risk is greater than the real risk, and the optimal solution of portfolio can not be guaranteed were analysed. These limitations are caused due to the robust optimization procedure. In order to overcome these limitations, a stochastic linear programming method for solving portfolio problems was proposed, based on scenario analysis. It is shown that the proposed method is efficient through verifiction with the data of domestic securities market.

关 键 词：稳健优化 投资组合 风险管理 

分 类 号：F830[经济管理—金融学]