破产控制约束下组合投资:两阶段MiniMax模型  

Portfolio Optimization with Bankruptcy Control:A Two Period MiniMax Model

作　　者：康志林 王志焕[2,3] KANG Zhi-lin;WANG Zhi-huan(School of Economics and Finance, Huaqiao University, Quanzhou 362021, China;School of Mathematical Science, Huaqiao University, Quanzhou 362021, China;Key Laboratory of Financial Mathematics (Putian University), Putian 351100, China)

机构地区：[1]华侨大学经济与金融学院,福建泉州362021 [2]华侨大学数学科学学院,福建泉州362021 [3]金融数学福建省高校重点实验室(莆田学院),福建莆田351100

出　　处：《运筹与管理》2022年第2期173-177,共5页Operations Research and Management Science

基　　金：福建省社会科学基金资助项目(FJ2021BF009);全国统计科学研究项目(2021LY026);华侨大学高层次人才科研启动项目(18BS311);金融数学福建省高校重点实验室(莆田学院)开放课题(JR201805)。

摘　　要：以绝对偏差函数作为风险测度,考虑不允许卖空约束条件下基于MiniMax的多期证券组合选择问题。为了避免在投资周期内破产事件的发生,增加了风险控制约束。利用动态规划和拉格朗日乘子法,给出了两阶段MiniMax投资组合模型最优解析策略。本文所提出策略可以为需要同时资产管理和破产控制的投资者提供决策依据。Using absolute deviation function as the risk measure,this paper considers the portfolio selection problem based on the minimax criterion when shorting is not allowed.To avoid occurrence of bankruptcy in the whole investment horizon,a risk control constraint is imposed on the proposed model at the same time.By applying dynamic programming and Lagrange multiplier approach,the explicit expression of the optimal portfolio strategy is presented.The proposed strategy can provide decisions basis for investors who need to manage the assets and control bankruptcy.

关 键 词：组合证券投资 风险测度 破产控制约束 不允许卖空 

分 类 号：F830.9[经济管理—金融学]