均值-方差下动态投资组合效率评价模型  

Mean-variance Dynamic Portfolio Efficiency Evaluation

作　　者：刘德彬 马超群[3] 周忠宝[3] 刘文斌[3,4] 

机构地区：[1]北京大学经济学院,北京100871 [2]中国民生银行,北京100621 [3]湖南大学工商管理学院,湖南长沙410082 [4]Business School,University of Kent

出　　处：《系统工程》2016年第7期41-46,共6页Systems Engineering

基　　金：国家自然科学基金重点资助项目(71431008);国家自然科学创新研究群体(71221001)

摘　　要：实际中的投资往往是根据市场情况不断动态调整的多阶段过程,各阶段投资的效率是影响投资者决策的重要因素。但现有对动态投资组合评价的研究匮乏,即使已有的研究也没有体现各期投资之间的联系。从动态投资组合的有效前沿面出发,研究了不同导向下的动态投资组合的效率测度。通过各阶段投资间的财富过程,构建了不同导向、不同测度下的动态投资组合效率评价模型,并在开环策略下求解了动态投资组合效率评价模型。最后通过仿真,对不同导向下的动态投资组合效率评价模型进行了比较分析,说明本文模型的合理性。The actual investment is often a multi-period process with dynamic adjustment based on market conditions.The efficiency of each period is an important factor affecting investor decision-making.However,the existing conclusions lack dynamic portfolio evaluation,even though some consider the performance of multi-period,the models do not reflect the link between each period.In this paper,from different orientations,we define the efficiency of multi-period portfolio based on the frontier.By considering the relationship between different periods and risk diversifications,we develop the optimization and evaluation models for multi-period portfolios,and we obtain open-loop portfolio efficiency under meanvariance framework.The simulation resulus show that the proposed models are rational and effective in assessing the performance of multi-period portfolios.

关 键 词：动态投资 组合优化 效率评价 

分 类 号：F830[经济管理—金融学]