Minimax准则下带约束的最优投资组合策略  

Optimal portfolio strategy under minimax criterion with constraints

作　　者：康志林[1] 曾燕[2] 

机构地区：[1]华侨大学数学科学学院,福建泉州362021 [2]中山大学岭南学院,广东广州510275

出　　处：《系统工程学报》2012年第5期656-667,共12页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71201173);中国博士后科学基金资助项目(2011M501351);华侨大学中央高校基本科研业务费资助项目(11HZR16);中央高校基本科研业务费资助项目(09WKPY35)

摘　　要：探讨了以极小化最大个人风险为目标的minimax最优投资组合双目标规划决策模型.以绝对偏差l。。风险函数作为风险测度,考虑了投资上限有界与不允许卖空约束下基于minimax准则的证券组合选择问题.利用Lagrange乘子法和KKT条件,得到最优投资策略的解析式,并用数值算例进行了验证.In this paper, a minimax model on optimal portfolio selection problems is proposed, where the objective is to minimize the maximum individual risk. Using the absolute deviation l∞ function as the risk measure, we consider an portfolio selection problem based on the minimax criterion when the upper limit of investment is bounded and short selling is not permitted. By applying the Lagrange multiplier method and the Karush-Kuhn-Tucker conditions, the closed-form expression of the optimal portfolio strategy is derived. Moreover, a numerical example and some analysis are also provided to illustrate the results derived in the present paper.

关 键 词：l∞风险测度 最优策略 投资上限 不允许卖空 KKT条件 

分 类 号：F830.9[经济管理—金融学] O224.0[理学—运筹学与控制论]