基于可变安全第一准则和交易约束的投资组合调整模型  

Portfolio Adjustment Model Based on Variable Safety First Criterion and Transaction Constrains

作　　者：张卫国[1] 陈云霞[1] 杜倩[1] 许文坤[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《系统工程》2011年第5期1-6,共6页Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70825005)

摘　　要：结合证券市场的实际情况,通过加入最小交易单位及交易费用约束改进了基于可变安全第一准则的风险定义,将风险表示成为与投资者意愿和交易约束相关的一条曲线。提出了一个新的基于可变安全第一准则的具有一般交易费用函数的投资组合调整优化模型,并给出求解该模型的基于遗传算法和随机模拟的混合智能算法步骤。然后,结合现实中交易费用的实际情况,分别建立了具有线性交易费用和二次分段凹型交易费用的投资组合调整模型。最后,依据上海证券市场的实际数据,通过两个实例验证模型的可行性和有效性。Considering the actual situation in the securities market,this paper improves the definition of risk based on variable safety first criterion by adding the minimum trading unit and transaction costs constraints.Risk is defined as a curve associated with investors＇ will and transaction constrains.A new portfolio adjustment optimization model with general transaction costs function is proposed based on variable safety first criterion.Then a hybrid intelligent algorithm using genetic algorithm and stochastic simulation is employed to solve the optimization problem.In addition,under the actual situation of transaction costs,two specific models with linear transaction costs and second piecewise concave transaction costs are established respectively.Finally,according to the actual data from Shanghai Security,two numerical examples are presented to illustrating the feasibility and effectiveness of the new portfolio adjustment model.

关 键 词：投资组合 可变安全第一准则 混合智能算法 最小交易单位 交易费用 

分 类 号：F830[经济管理—金融学]