完全市场情况下多阶段均值-VaR投资组合优化  

Optimization of the multiperiod mean-VaR portfolio selection in a complete market

作　　者：张鹏[1] 张逸菲[1] 

机构地区：[1]武汉科技大学管理学院,湖北武汉430081

出　　处：《武汉科技大学学报》2014年第4期315-320,共6页Journal of Wuhan University of Science and Technology

基　　金：国家自然科学基金资助项目(71271161)

摘　　要：将VaR风险度量方法拓展到多阶段投资组合优化,提出了完全市场情况下多阶段均值-VaR投资组合模型,该模型的目标函数不具有可分离性。采用嵌入式方法将不可分离的问题转化为可分离的,并运用动态规划方法得到了模型的解析解,即最优投资策略。通过一个算例验证了该模型和求解方法的有效性。The VaR risk measurement approach was extended to the multiperiod portfolio selection problem ,and the multiperiod mean-VaR portfolio investment model in a complete market was proposed .Due to the fact that the objective function of the model is not separable ,the embedding method was employed to turn the inseparable problem into a separable one .Then dynamic programming was used and the optimal solution to the model was obtained ,which was in fact the optimal investment strategy .The feasibility of the model and the proposed approach was verified by an example .

关 键 词：多阶段投资组合 动态规划 最优投资策略 

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