绝对离差风险测度下的多阶段风险投资组合优化  

Multi-stage Venture Capital Portfolio Optimization Model Research Based on Absolute Deviation

作　　者：彭飞[1,2] 陈亦然 胡支军[3] 

机构地区：[1]华南师范大学经济行为科学重点实验室,广东广州51006 [2]华南师范大学经济与管理学院,广东广州510006 [3]贵州大学理学院,贵州贵阳550025

出　　处：《华南理工大学学报（社会科学版）》2016年第2期27-34,共8页Journal of South China University of Technology(Social Science Edition)

基　　金：国家自然科学基金资助项目(71271090;71361003;71473090);教育部人文社会科学研究青年基金资助项目(11YJC630160)

摘　　要：风险投资家对多个可行的风险企业进行分阶段多期组合投资选择。基于风险投资投入资金固定、各阶段投资价值不可立即变现等特性,风险投资家控制各阶段的组合投资风险,构建了多阶段风险投资组合绝对离差优化模型,讨论了风险控制阈值变化对风险投资组合的影响。根据风险投资实际情况设计了数值例子,依据模型得出了相应的优化选择解。Venture capitalists carry out multi-stage portfolio selection in multiple feasible risk enterprises. Based on the characteristics of venture capital,such as investment value fixed and no realizable investment value immediately at the end of each stage,assuming that venture capitalists control the risk of portfolio investment in each stage,a multi-stage venture investment absolute deviation optimization model is established. The effect of risk control threshold changed on portfolio risk is discussed. According to the actual situation of venture capital,the model is applied for numerical examples getting corresponding optimization solution.

关 键 词：风险投资 分阶段投资 绝对离差 风险控制阈值 

分 类 号：F831.2[经济管理—金融学]