投资机会约束下投资组合的模型预测控制  

Model Predictive Control for Portfolio with Investment Chance Constraint

作　　者：赵瑜慧 刘晓华 ZHAO Yuhui;LIU Xiaohua(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)》2025年第2期122-128,共7页Journal of Ludong University:Natural Science Edition

基　　金：山东省自然科学基金(ZR2020MF063)。

摘　　要：在投资机会约束的前提下,本文提出基于跟踪策略的投资风险最小化的投资组合优化问题。构建投资组合的状态空间模型,设计多步模型预测控制器,将投资机会约束转化为多步概率集约束,设计了基于模型预测控制的投资组合策略。最后,针对风险损失容忍度不同的投资者,通过分析数据验证了投资策略的有效性。Under the premise of investment chance constraints,a portfolio optimization problem for minimizing investment risk was proposed based on tracking strategy.By constructing a state space model of the portfolio,and designing a multi-step model predictive controller,the investment chance constraint was transformed into multi-step probability set constraints,and the portfolio strategy based on model predictive control was proposed.Finally,the effectiveness of the investment strategy was verified by analyzing the data for investors with different risk loss tolerance.

关 键 词：投资组合优化 投资机会约束 跟踪策略 模型预测控制 多步概率集 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]