偏度约束的负半熵-下半方差投资组合研究  

Study on Negative Half Entropy-Lower Half Variance Portfolio Based on Skewness Constraint

作　　者：欧攀 王沁[1] 段静静 周文浩 OU Pan;WANG Qin;DUAN Jingjing;ZHOU Wenhao(School of Mathematics,Southwest Jiaotong University,Chengdu 611730,China)

机构地区：[1]西南交通大学数学学院,四川成都611756

出　　处：《武汉理工大学学报（信息与管理工程版）》2020年第2期148-153,共6页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金项目(71201131)。

摘　　要：针对投资者分散资产风险进行组合投资问题,通过负半熵和半方差度量收益率下跌的信息,引入偏度度量高阶矩风险,建立了带偏度约束的均值-负半熵-下半方差多目标投资组合决策模型。实证结果表明:与传统马科维茨模型、半方差模型相比,所构建模型的组合资产发生超额收益的可能性更大、下跌风险更低,说明了该模型的合理性和算法的可行性,可为投资者进行资产配置时提供更加理性的参考。To solve this portfolio problem of aiming at investors′diversified asset risk,negative half entropy and half variance are used to measure the decline in yield,and skewness is used to measure high-order moment risk.The multi-objective portfolio decision model of negative half entropy,half variance and the skewness is established.The empirical results show that,compared with the MV model and the semi-variance model,the new model has greater excess returns and lower risk of decline.It illustrates the rationality of the new model and the feasibility of the algorithm,and this model provides investors with more rational reference of asset allocation.

关 键 词：投资组合 负半熵 拉格朗日乘数法 偏度约束 马科维茨 

分 类 号：F223[经济管理—国民经济]