基于CVaR衍生的多期多面风险度量下的投资组合研究

为了解决多期投资组合的决策问题,本文将由CVaR衍生的多期多面风险度量作为风险控制目标,建立了一个在收益约束条件下最小化风险的多阶段投资组合模型。为求解模型,设计了多期投资组合优化流程,它将非参数抽样方法、基于聚类算法的多阶段情景树生成方法和多期多面风险度量组合在一起。该流程基于计算、容易实现、直观合理。根据我国金融市场数据进行的实证研究结果表明,这一流程具有较好的实用性。     

证券组合投资决策的β模型

本文基于证券组合系统风险和非系统风险的定量分析,建立了含β约束的证券组合多目标优化模型。文中给出了模型的解析解,分析了解的性态,并通过数值例子检验了模型的解,研究结果表明,只要适当控制证券组合的非系统风险,就能确保所求证券组合具有良好的分散性,从而较好地解决了β－类模型中的投资分散问题。     

投资比例非负约束的风险证券组合有效集及动态分析

本文提出了风险证券有效组合的决策模型 ,给出了投资比例非负约束的风险证券有效组合的解析表示 ,研究了证券个数变动对证券组合有效集的影响 .分析了它的漂移方向和漂移范围 ,给出了最小风险有效证券组合和最大收益有效证券组合的漂移距离及风险与收益的增加或减少程度     

区间证券多目标投资组合的β模型

基于区间证券组合的系统风险与非系统风险问题,建立一种新的含β约束的区间证券投资组合的多目标优化模型,使得证券组合投资更具柔性,最后,结合实例分析了该模型的现实应用价值.     

最小风险组合证券非负投资比例系数的确定

研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.     

破产控制约束下组合投资:两阶段MiniMax模型

以绝对偏差函数作为风险测度,考虑不允许卖空约束条件下基于MiniMax的多期证券组合选择问题。为了避免在投资周期内破产事件的发生,增加了风险控制约束。利用动态规划和拉格朗日乘子法,给出了两阶段MiniMax投资组合模型最优解析策略。本文所提出策略可以为需要同时资产管理和破产控制的投资者提供决策依据。     

基于多目标CVaR模型的证券组合投资的风险度量和策略

本文首先定义了多损失函数下的-αVaR,-αCVaR损失值以及-αCVaR损失值的等价函数,给出了多目标CVaR模型.然后,基于多目标CVaR模型,建立了一个多目标证券组合投资优化模型,得出在多置信水平下的证券组合投资比例和CVaR值,据此建立一种证券组合投资的降低风险优化模型.其降低风险策略是在收益率不变的情形下降低风险和总投资比例.数值实验表明,这种策略是可以通过明显地减少总投资比例来达到降低风险的目的.     

熵—证券投资组合风险的一种新的度量方法

本文在研究马科维茨 ( Markowitz)证券投资组合模型的基础上 ,分析了该模型用方差度量风险的缺陷 ,进而提出用熵作为风险的度量方法 ,改进马科维茨 ( Markowitz)证券投资组合模型 ,并建立新的证券投资组合优化模型     

单位收益率风险最小的组合证券投资决策模型

章首先分析了组合证券投资的收益率和风险,根据组合证券投资的亏本概率上界最小的原则,建立了单位收益率风险最小的组合证券投资决策模型,并证明了该模型的有效性。     

证券投资组合理论的一种新模型及其应用

马科维茨(Markowitz)以证券收益率的方差作为投资风险的测度建立了组合证券投资模型，本基于熵的概念，在研究马科维茨(Markowitz)证券投资组合模型的基础上，分析了该模型用方差度量风险的不足，进而提出一种新的证券投资组合优化模型，并以实例作了说明。     

Composite time-consistent multi-period risk measure and its application in optimal portfolio selection

Through the composition of two real-valued functions, we propose a new class of multi-period risk measure which is time consistent. The new multi-period risk measure is monotonous and convex when the two real-valued functions satisfy monotonicity and convexity. Based on this generic framework, we construct a specific class of time-consistent multi-period risk measure by considering the lower partial moment between the realized wealth and the target wealth at individual periods. With the new multi-period risk measure as the objective function, we formulate a multi-period portfolio selection model by considering transaction costs at individual investment periods. Furthermore, this stochastic programming model is transformed into a deterministic programming problem using the scenario tree technology. Finally, we show through empirical tests and comparisons the rationality, practicality and efficiency of our new multi-period risk measure and the corresponding portfolio selection model.     

具有熵约束的多阶段均值—绝对偏差模糊投资组合决策

文章运用可能性绝对偏差和比例熵分别度量风险和分散化程度,提出了具有风险控制和线性交易成本的终期财富最大化的多阶段模糊投资组合模型。运用可能理论,将该模型转化为显示的非线性动态优化问题。由于投资过程存在交易成本,上述模型为具有路径依赖性的动态优化问题。文章提出了前向动态规划方法求解。最后, 通过实证研究比较了不同熵的取值投资组合最优投资比例和最终财富的变化。     

A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

This paper deals with a multi-period portfolio selection problem with fuzzy returns. A possibilistic mean-semivariance-entropy model for multi-period portfolio selection is presented by taking into account four criteria viz., return, risk, transaction cost and diversification degree of portfolio. In the proposed model, the return level is quantified by the possibilistic mean value of return, the risk level is characterized by the lower possibilistic semivariance of return, and the diversification degree of portfolio is measured by the originally presented possibilistic entropy. Furthermore, a hybrid intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, the comparison analysis between the possibilistic entropy model and the proportion entropy model is provided by two numerical examples to illustrate the efficiency of the proposed approaches and the designed algorithm.     

A chance-constrained portfolio selection model with risk constraints

The paper by Huang [Fuzzy chance-constrained portfolio selection, Applied Mathematics and Computation 177 (2006) 500-507] proposes a fuzzy chance-constrained portfolio selection model and presents a numerical example to illustrate the proposed model. In this note, we will show that Huang’s model produces optimal portfolio investing in only one security when candidate security returns are independent to each other no matter how many independent securities are in the market. The reason for concentrative solution is that Huang’s model does not consider the investment risk. To avoid concentrative investment, a risk constraint is added to the fuzzy chance-constrained portfolio selection model. In addition, we point out that the result of the numerical example is inaccurate.     

证券收益率的极大线性无关组及两基金分离定理

在无套利假设下,利用概率论结合线性代数的方法进一步研究了当n种风险资产的协方差矩阵∑是奇异时的证券投资组合问题,在均值-方差模型的框架下得到模型的一些本质特征,并证明了此时的两基金分离定理仍然成立的.     

基于信用风险修正的多阶段银行资产组合优化模型

从资产组合管理角度出发,用信用风险修正的方法对企业信用等级阈值进行修正,同时考虑商业银行持续经营的特点,将修正后的信用风险引入到多阶段的模型当中去,建立一个基于信用风险修正的多阶段银行资产组合优化模型.针对该模型的特点,给出了把Monte Carlo模拟的动态算法和改进粒子群的多阶段算法相结合求解方法.数值试验表明所建...     

A mixed R&D projects and securities portfolio selection model

The business environment is full of uncertainty. Allocating the wealth among various asset classes may lower the risk of overall portfolio and increase the potential for more benefit over the long term. In this paper, we propose a mixed single-stage R&D projects and multi-stage securities portfolio selection model. Specifically, we present a bi-objective mixed-integer stochastic programming model. Moreover, we use semi-absolute deviation risk functions to measure the risk of mixed asset portfolio. Based on the idea of moments approximation method via linear programming, we propose a scenario generation approach for the mixed single-stage R&D projects and multi-stage securities portfolio selection problem. The bi-objective mixed-integer stochastic programming problem can be solved by transforming it into a single objective mixed-integer stochastic programming problem. A numerical example is given to illustrate the behavior of the proposed mixed single stage R&D projects and multi-stage securities portfolio selection model.     

Increasing risk aversion and life-cycle investing

Mathematics and Financial Economics - We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous-time securities market. The IRRA assumption...     

债券投资组合业绩归因的多期实证研究

目前国内对投资组合的业绩归因研究主要从管理者层面着手,将超额收益的来源归结为择时能力和选股能力,但这并不适用于债券投资。本文基于Campisi模型,对债券定价公式进行分解,从债券自身的特性来研究组合的超额收益来源,并结合GRAP跨期处理方法,形成多期业绩归因模型,对长期债券投资组合进行归因分析。相对于单期的归因模型,多期归因模型可以对任意一段时间内投资组合的超额收益进行归因,而不是单期归因项的简单加总。本文以中证全债指数为基准组合,对32只债券构成的投资组合进行实证研究,结果表明模型符合市场情况和实际操作情况。因此本文提出的多期业绩归因研究具有实用性。     

证券数目变化时受到扰动的M-V有效前沿分析

基于M-V证券组合模型,在证券市场上不存在无风险资产且允许卖空条件下,探讨了证券数增加k种后原n种证券协方差矩阵发生改变情形下M-V证券组合有效前沿的漂移问题。通过引入扰动因子和扰动矩阵,给出了M-V证券组合有效前沿的漂移方向及其开口大小的变化情况．研究结果表明证券数增加了k种后有效前沿向左漂移以及它的开口变大,原证券组合的有效前沿完全落在新的证券组合可行集内．