具有最小交易量和借款约束的多阶段均值-半方差投资组合优化.doc

具有最小交易量限制的多阶段均值-半方差投资组合优化 张鹏1 张卫国2张逸菲3 1武汉理工大学经济学院， 武汉 430070 2华南理工大学工商管理学院，广州 510641 ,3 武汉科技大学管理学院， 武汉 430081 摘要：考虑交易成本，借款约束和阈值约束,文章提出了具有最小交易量限制的多阶段均值-半方差投资组合模型。该模型是具有路径依赖性的混合整数动态优化问题,还是NP完全问题。文章提出了前向动态规划方法求解。最后，通过一个算例比较不同风险约束下的最优投资策略，从而验证模型和算法的有效性。 关键词： 多阶段投资组合；均值-半方差；最小交易量；借款约束；前向动态规划方法 Multi-period mean-semivariance portfolio selection with minimum transaction lots constraints Peng Zhang1 Wei-Guo Zhang 2 Yi-Fei-Zhang 3 1 School of Ecoomics, Wuhan University of Technology, Wuhan 430070, P.R. China, 2School of Business Administration, South China University of Technology, Guangzhou, 510641, PR China 3 School of Management, Wuhan University of Science and Technology, Wuhan 430081, P.R. China. Abstract: In this paper we deal with the multi-period mean semivariance portfolio problem with minimum transaction lots, transaction costs, borrowing constraints and threshold constraints. We show that in this case the problem of finding a feasible solution is NP-complete. An optimal investment policy can be generated to help investors not only achieve an optimal return, but also have a good risk control. The multi-period portfolio selection is the mix integer dynamic optimization problem with path dependence. The forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, the comparison analysis with borrowing risk-free assets and without risk-free assets in the portfolio selection is provided by a numerical example to illustrate the efficiency of the proposed approaches and the designed algorithm. Key Words: Multi-period portfolio selection; Mean semivariance; Minimum transaction lots; Borrowing constraints; The forward dynamic programming method 1 引言 Markowitz [1, 2]提出的均值—方差投资组合理论为现代投资组合的发展奠定了基础。此后投资多元化问题已经变成了计算问题。Deng等[3]和Hirschberger等[4]提出了基于方差风险度量投资组合模型。虽然方差一直在投资组合中充当风险度量的角色，但其具有一定的局限性[5, 2]。一个明显的缺点是方差将高收益和低收益同样认为不好，因为高收益有助于出现极端方差。当证券收益的概率分布是不对称的，基于方差的投资组合可能牺牲太多的预期收益去消除极端的低收益和高收益，在现实中，许多实证研究,如[6, 7]证明了证券收益不是对称分布的。 为了克服均值-方差模型的局限性，