具有实际约束的多阶段M-V投资组合时间一致性策略研究  

Time-consistent Optimal Strategy for Multiperiod Mean-variancePortfolio Selection with Real Constraints

作　　者：张鹏 李璟欣 崔淑琳 曾永泉 ZHANG Peng;LI Jingxin;CUI Shulin;ZENG Yongquan(School of Economics and Management,South China Normal University,Guangzhou 510006,China;College of Humanities and Social Sciences,Zhongkai University of Agriculture and Engineering,Guangzhou 510225,China)

机构地区：[1]华南师范大学经济与管理学院,广东广州510006 [2]仲恺农业工程学院人文与社会科学学院,广东广州510225

出　　处：《运筹与管理》2024年第1期205-211,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71271161)。

摘　　要：从动态规划的角度分析,方差算子的不可分离性导致标准的多阶段均值-方差模型的最优投资策略不满足时间一致性。文章采用条件期望映射的方法,构建了一个具有交易成本、借贷约束和阈值约束的多阶段M-V投资组合模型。由于考虑了交易成本,该模型是一个具有路径依赖性的动态优化问题。为了获得其时间一致性投资策略,文章将该问题近似地转化为连续性动态规划模型,证明最优解的近似度,并运用离散迭代算法求解。最后,使用上海证券交易所的部分历史数据验证了模型和算法的有效性。Investment can help people resist inflation and achieve the maintenance and appreciation of wealth.How to effectively allocate financial assets is a central issue.The mean-variance portfolio model proposed by Markowitz in 1952 settled the foundation for the development of portfolio theory.The model estimates the return and risk by probability theory,achieving the optimal allocation of assets by trading off returns and risks,with the objective function of maximizing returns under established risk constraints or minimizing risks under return constraints.With the extensive research of scholars,the research content and application of static portfolio theory are gradually enriched and improved.The static portfolio model assumes that investors hold the initial investment portfolio until the end of the investment period without any adjustments.However,factors such as investors’preferences,and policies change over time,make it difficult to describe the dynamics of the factors by static portfolio models.In actual financial transactions,investment is a continuous process,and investors will adjust their portfolio positions based on the investment environment.Therefore,the multi-period portfolio theory has gradually attracted the attention of scholars.Scholars have conducted extensive research on multi-stage portfolio optimization,but most of them provide optimal pre-commitment strategies.The pre-commitment strategy is that when investors formulate a strategy during the initial period,they must ensure that the pre-formulated strategy is executed throughout the subsequent investment period.Each period of the strategy depends on the initial state of the investment.However,in multi-period investments,investors need to adjust their strategies based on existing information.It is obvious that the pre-commitment strategy is not the optimal time-consistent strategy.The time-consistent strategy is that investors can adjust their investment strategies with changes in market information.That is to say,the time-consistent strategy sat

关 键 词：多阶段投资组合 均值-方差 交易成本 时间一致性策略 离散迭代法 

分 类 号：F272[经济管理—企业管理]