基于经济模型预测控制的证券投资组合策略  

Security Portfolio Strategy Based on Economic Model Predictive Control

作　　者：马小涵 刘晓华 高荣 MA Xiaohan;LIU Xiaohua;GAO Rong(School of Mathematics and Statistics Science,Ludong University,Yantai 264039,China)

机构地区：[1]鲁东大学数学与统计科学学院,山东烟台264039

出　　处：《鲁东大学学报（自然科学版）》2023年第2期153-158,164,共7页Journal of Ludong University:Natural Science Edition

基　　金：山东省自然科学基金(ZR2020MF063)。

摘　　要：证券投资的目的是实现收益最大化的同时将风险降到最低。针对风险态度不同的投资者,本文利用经济模型预测控制(EMPC)研究多目标证券投资组合问题,通过Utopia跟踪法求解得到不同风险态度下保证收益最大化和风险最小化的多目标证券投资组合策略。最后,通过仿真验证了该策略的有效性。The purpose of security portfolio is to maximize returns and minimize risks.For investors with different risk attitudes,the problem of multi-objective security portfolio is studied by using economic model predictive control.Utopia-tracking method was introduced to solve this problem,and a multi-objective security portfolio strategy considering both return maximization and risk minimization under different risk attitudes is ensured.Finally,the effectiveness of the proposed strategy was verified by the simulation.

关 键 词：多目标优化 证券投资组合 经济模型预测控制 Utopia跟踪法 风险规避系数 

分 类 号：F224.1[经济管理—国民经济]