含有资本结构因子、交易成本和风险偏好的模糊最优化投资模型

建立了含有资本结构因子、交易成本和风险偏好的模糊最优化投资模型,在允许卖空条件下,给出最优投资策略及有效边界;在不允许卖空条件下,给出了确定其有效边界的算法,并分析了风险偏好、无风险利率和交易成本对有效边界的影响,最后通过示例进行了分析.     

共同资金投资组合的有效边界与最优策略

本文利用均值方差模型,分析了非线性交易成本下的共同资金投资的有效边界和在一般的效用函数下讨论了最优投资组合和最大效用,其中只考虑风险资产的总投资比例对交易成本的影响.     

共同基金和无风险资产投资的最优策略

利用均值-方差模型,分析了非线性交易成本下的共同基金与无风险资产投资组合的有效边界和在一般的效用函数下讨论了投资者的最优投资策略.     

带有交易成本和红利的最优消费投资策略研究

本文利用HJB方程粘性解理论,考虑带有红利收益和交易成本后,对现有最优消费投资模型作了推广,研究了投资者在带有红利和交易成本情形下的最优消费投资策略。     

有交易成本的投资组合策略

金融市场都存在交易成本,为此,本文建立了有交易成本的投资组合模型,讨论了模型解的条件,并提出模型的通用数值解法,最后给出了应用举例．     

交易成本型证券投资中求最优投资方案的一个算法

给出一个交易成本型证券投资中求最优投资方案的数值算法 ,证明了算法的理论依据 ,并举例说明算法的应用 .     

一种改进的投资组合模型的算法和实证分析

目前,在Markowitz的均值-方差模型基础上对含有偏度和交易成本模型的研究较少,结合国内市场数据进行研究并做出三维投资组合有效前沿图像的成果更少。在建立两种在交易成本约束条件下以方差和偏度的线性组合为目标函数的最优投资组合模型之后,利用线性函数逼近,将模型转换成线性规划问题,而且这种逼近程度可以控制。用单纯形法求解以得到最优投资组合。利用国内八个上市公司的数据进行实证分析,做出了三维投资组合近似有效前沿图像,并讨论了目标函数最优值和参数的关系。可以发现,目标函数是期望r和参数m的增函数。     

具有交易成本的证券组合投资决策研究

本文利用均值－方差模型，分析了有交易成本的证券投资组合的决策问题，给出了风险资产和无风险资产的最优投资比例与交易成本关系的一个有意义的结论。     

带有改进的典型交易成本函数的MCvar模型及其例证分析

首先建立带有改进的典型交易成本函数的MCvar投资组合模型,同时给出了求解该模型的基于相关性粒子群算法的具体步骤.然后选取A股市场上的三只股票进行了一组数值实验.通过对数值计算的结果分析表明算法有效可行.最后对下一步有待解决的问题提出了几点思考.     

基础设施项目不同政府浮动投资回报率担保模式辨析

浮动投资回报率担保是吸引基础项目融资的有效方式.本文基于浮动上下限投资回报率担保,构建基础项目非政府投资者收益模型,证明非政府投资收益是浮动担保上下限的增函数,以及交易成本对非政府投资收益产生的负效应,并在非政府投资者收益最大化的条件下给出了最优政府浮动担保水平.最优政府浮动担保水平指出政府过度担保会抑制基础项目融资,进一步导致基础项目产业的内在扭曲.     

Multi‐asset portfolio optimization with transaction cost

The inclusion of transaction costs in the optimal portfolio selection and consumption rule problem is accomplished via the use of perturbation analyses. The portfolio under consideration consists of more than one risky asset, which makes numerical methods impractical. The objective is to establish both the transaction and the no‐transaction regions that characterize the optimal investment strategy. The optimal transaction boundaries for two and three risky assets portfolios are solved explicitly. A procedure for solving the N risky assets portfolio is described. The formulation used also reduces the restriction on the functional form of the utility preference.     

Perturbation solution of optimal portfolio theory with transaction costs for any utility function

The solution to the optimal portfolio selection and consumptionrule with small transaction costs is derived via the use ofperturbation analysis for the case when one risky and one risklessasset are available for investment. This methodology allowsus to apply a broader specification for the utility function.     

手数约束和凹交易费下的离散投资组合模型及算法

本文建立带手数约束和凹交易费的离散投资组合模型,给出求解该模型的一种精确算法。该算法是一个基于拉格朗日松弛和次梯度对偶搜索的分枝定界算法。为测试算法的有效性,用随机产生的数据对模型进行数值实验。作为其应用,用沪深300指数的真实数据实证检验该模型,并与不含交易费用的离散投资组合模型进行数值比较分析。数值分析表明算法能在合理的时间内给出模型的投资组合策略, 对解决中小规模的离散投资组合问题是有效的。     

具有交易费用和马氏调制的均值-方差组合选择

研究了均值-方差准则下,最优投资组合选择问题.投资者为了增加财富它可以在金融市场上投资.金融市场由一个无风险资产和n个带跳的风险资产组成,并假设金融市场具有马氏调制,买卖风险资产时,考虑交易费用.目标是,在终值财富的均值等于d的限制下,使终值财富的方差最小,即均值-方差组合选择问题.应用随机控制的理论解决该问题,获得了最优的投资策略和有效边界.     

Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

In this article, we study a multi-period portfolio selection model in which a generic class of probability distributions is assumed for the returns of the risky asset. An investor with a power utility function rebalances a portfolio comprising a risk-free and risky asset at the beginning of each time period in order to maximize expected utility of terminal wealth. Trading the risky asset incurs a cost that is proportional to the value of the transaction. At each time period, the optimal investment strategy involves buying or selling the risky asset to reach the boundaries of a certain no-transaction region. In the limit of small transaction costs, dynamic programming and perturbation analysis are applied to obtain explicit approximations to the optimal boundaries and optimal value function of the portfolio at each stage of a multi-period investment process of any length.     

Mean-variance portfolio rebalancing with transaction costs and funding changes

Investment portfolios should be rebalanced to take account of changing market conditions and changes in funding. Standard mean-variance (MV) portfolio selection methods are not appropriate for portfolio rebalancing, as the initial portfolio, change in funding and transaction costs are not considered. A quadratic mixed integer programming portfolio rebalancing model, which takes account of these factors is developed in this paper. The transaction costs in this portfolio rebalancing model are composed of fixed charges and variable costs, including the market impact costs associated with large market trades of individual securities, where these variable transaction costs are assumed to be non-linear functions of traded value. The use of this model is demonstrated and it is shown that when initial portfolio, funding changes and transaction costs are taken into account in portfolio construction and rebalancing, MV efficient portfolios that include risk-free lending do not have the structure expected from portfolio theory.     

基于收益及收益偏差平方和多期组合投资

本文在分析Markowitz组合投资的基础上,建立考虑交易费用的收益偏差平方和极小化和收益率极大化的动态资产的投资组合模型.通过调整多期投资组合各期的投资数量,保障投资者根据股票市场变化进行易于操作的、相对合理的投资调整策略,为投资者进行风险管理提供决策依据.最后通过释例进行了说明.     

目标规划法在证券组合投资中的应用

证券投资是目前我国经济中的一大热点。本以Markowitz证券组合投资理论为基础，运用目标规划的方法建立一种新的证券组合投资决策模型。在本模型中综合考虑了证券组合的收益，风险，交易费用等因素，对投资选择有效证券组合有一定的实用价值。     

具有交易成本的证券投资组合选择：一种求解方法

本研究一类带交易成本证券投资组合选择的求解，在风险不超过某个阈值的假设下，我们给出一种求解方法，最后本通过实例计算表明该方法是有效的。     

Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.