跟踪误差投资组合鲁棒优化模型及其衍生模型在基金市场中的应用  

Application of Tracking Error Investment Portfolio Robust Optimization Model and Its Derivative Models in Fund Market

作　　者：王志强[1] 赵庆[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《山东财经大学学报》2015年第1期1-8,共8页Journal of Shandong University of Finance and Economics

基　　金：国家自然科学基金项目"基于时变参数的学习机制;利率行为与政策效果研究"(71173030)

摘　　要：基于跟踪误差投资组合鲁棒优化模型,提出三种衍生模型:单一目标收益模型、多目标收益模型和基于成本单一目标收益模型。给出了利用MATLAB求解的具体方法,采用"光大保德信均衡竞选股票基金"数据进行实证分析,并与基准模型和基金的实际投资绩效进行比较,结果表明,三种衍生模型对于提高收益、降低风险是有效的、可行的,对于资产配置具有借鉴意义。Based on the Tracking Error Investment Portfolio Robust Optimization Model, three derivative models are proposed, i.e. single target return model, multi-target return model and cost-based single target return model, and the methods to solve MATLAB are also presented. The ＂Everbright Prudential Balanced Campaign Stock Fund＂ data are empirically analyzed, the results of which are compared with the benchmark model and the actual investment performance of the fund. The research findings show that the three derivative models prove effective and feasible in improving return and reducing risk, and have reference significance for asset allocation

关 键 词：跟踪误差 投资组合 鲁棒优化 基金市场 

分 类 号：F830.91[经济管理—金融学]