风险资产收益序列相关的多阶段均值-方差投资组合选择  

Mult-period mean-variance portfolio selection with serially correlated returns of risky assets

作　　者：姚海祥[1] 姜灵敏[1] 马庆华[1] 简旻捷 

机构地区：[1]广东外语外贸大学信息学院,广州510006 [2]华南农业大学理学院,广州510642

出　　处：《控制与决策》2014年第7期1226-1231,共6页Control and Decision

基　　金：国家自然科学基金项目(61104138;71271061);广东省自然科学基金项目(S2011010005503);广东省高等院校(学科建设专项资金)科技创新项目(2012KJCX0050);全国统计科学研究计划项目(2013LY101);国家社科基金项目(11CGL051);广东省科技计划项目(2012B040305009;2012B091100192)

摘　　要：基于多阶段均值-方差框架,研究任意多种风险资产存在一般收益序列相关时的投资组合选择问题.首先,采用Lagrange对偶原理与动态规划相结合的方法对模型进行求解,得到多阶段均值-方差模型的有效投资策略和有效边界的解析表达式;然后,证明在含有无风险资产的情形下有效边界仍为均值-标准差平面上的一条射线;最后,应用所得结论给出一个具体的实例分析.Based on the multi-period mean-variance framework, a portfolio selection problem with serially correlated returns of multiple risky assets is studied. Firstly, by using the Lagrange duality principle and the dynamic programming approach, the model is solved explicitly, and closed-form expressions for the efficient investment strategy and mean-variance efficient frontier are obtained. Then, it is further showed that when the market includes a risk-free asset, the efficient frontier is still a straight line in the standard derivation-mean plane. Finally, by utilizing these results, a specific example is provided.

关 键 词：收益序列相关 多阶段均值-方差模型 Lagrange对偶原理 动态规划 

分 类 号：F830[经济管理—金融学] F224