线性跟踪误差的指数化投资组合鲁棒优化模型  

Robust Indexing Investment Based on Linear Tracking Error

作　　者：安晓敏[1] 

机构地区：[1]西安工业大学理学院,西安710021

出　　处：《西安工业大学学报》2016年第1期1-4,20,共5页Journal of Xi’an Technological University

基　　金：陕西省教育厅专项科研计划项目(14JK1353);西安工业大学校长基金(XAGDXJJ1134)

摘　　要：为消除指数化投资组合中参数的扰动对线性跟踪误差最优解产生的影响,文中针对线性跟踪误差模型,采用鲁棒优化给出了模型参数为矩形不确定集、椭球不确定集的鲁棒模型,分析了该模型由于参数不确定性所造成的缺陷.实证研究表明:采用线性跟踪误差指数化投资组合的鲁棒优化模型的解同时具有鲁棒性与最优性,鲁棒模型与基准模型的收益一致性较好,鲁棒模型的跟踪误差略大于基准模型.In the indexing investment protfolio,the disturbance of parameters has a great influence on the optimal solution to the original problem. Robust optimization is an effective method to deal with the optimization problem involving uncertainty. Based on the linear tracking error model, the robust model was established with the box and ellipsoidal uncertainty sets as the parameters. Its flaw which results from the uncertainty of parameters was analyzed. The numerical results show that the solution obtained by the new model is both robust and optimal. The return of the robust model is generally consistent with that of the benchmark ,while its tracking error is slightly greater than that of the benchmark.

关 键 词：投资组合 指数化投资 线性跟踪误差 鲁棒优化 

分 类 号：F830.59[经济管理—金融学] F224