附加交易费用的动态投资组合鲁棒策略  

Robust strategy of dynamic portfolio with transaction cost

作　　者：郑冬[1] 梁锡坤[1] 

机构地区：[1]杭州师范大学杭州国际服务工程学院,浙江杭州310036

出　　处：《东北师大学报（自然科学版）》2014年第2期30-34,共5页Journal of Northeast Normal University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(10971162);浙江省自然科学基金资助项目(Y6110178);杭州师范大学研究基金资助项目

摘　　要：在风险资产期望收益和协方差矩阵不确定的情况下,研究了附加交易费用的动态投资组合鲁棒策略,并运用LMI方法就其实证分析所得到的结果分别与基准组合、有效边界组合模型的结果进行了比较.结果表明,附加交易费用的动态投资组合鲁棒策略所得到的权重分配更加合理,所得到的最终收益也优于其他组合模型,而且附加交易费用后的模型更加贴近于大额投资情况下金融市场的实际交易.Based on the uncertainty of expected return and covariant matrix of risk assets, the robust strategy for dynamic portfolio with transaction costs is discussed in this paper. The result of empirical analysis by using LMI method was compared with the one of benchmark portfolio and the one of efficient frontier portfolio respectively. As far as the distribution of weights, the robust strategy of dynamic portfolio with transaction costs is more reasonable and the final returns are also better than other models. It is concluded that the models with transaction costs are closer to the actual transaction of financial markets in the condition of large investment.

关 键 词：均值-方差模型 投资组合优化 跟踪误差 鲁棒 交易费用 

分 类 号：O221[理学—运筹学与控制论]