| 因子结构下的新型多期投资组合选择模型 |
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| 引用本文： | 王艳萍,陈志平,陈玉娜.因子结构下的新型多期投资组合选择模型[J].系统科学与数学,2011,31(7). |
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| 作者姓名： | 王艳萍 陈志平 陈玉娜 |
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| 作者单位： | 1. 太原师范学院经济系,太原,030012
2. 西安交通大学理学院科学计算与应用软件系,西安,710049 |
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| 基金项目： | 国家自然科学基金面上项目(70971109)和重点项目(70531030)资助 |
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| 摘 要： | 首次将因子模型与多期均值-方差模型相结合,建立了单因子结构下的新型多期均值-方差模型,并且利用二次规划方法得到了此模型的解析最优投资策略.为使这一结论具有普适性,又将它推广到了多因子模型情形,并且得到了与单因子模型下类似的结论.最后,通过数值算例验证了本文的理论结果.新模型确定最优投资策略的方法,是一个科学且可操作性强的方法.
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| 关 键 词： | 均值-方差 因子模型 因子载荷 多期投资组合 |
NEW MULTI-PERIOD PORTFOLIO SELECTION MODELS UNDER THE FACTOR MODEL |
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| WANG Yanping,CHEN Zhiping,CHEN Yuna.NEW MULTI-PERIOD PORTFOLIO SELECTION MODELS UNDER THE FACTOR MODEL[J].Journal of Systems Science and Mathematical Sciences,2011,31(7). |
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| Authors: | WANG Yanping CHEN Zhiping CHEN Yuna |
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| Institution: | WANG Yanping (Department of Economics,Taiyuan Normal University,Taiyuan 030012) CHEN Zhiping CHEN Yuna (Department of Scientific Computing and Applied Software,Faculty of Science,Xi'an Jiaotong University,Xi'an 710049) |
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| Abstract: | By combining the single-factor model and the multi-period mean-variance model,we first propose a new multi-period mean-variance model under the single-factor model, and obtain its explicit optimal investment strategy by using the quadratic programming technique. As a generalization of these conclusions,we then extend the above model to the multifactor model situation and derive similar conclusions.Finally,some numerical examples show the effectiveness of the theoretical results. |
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| Keywords: | Mean-variance models factor model factor loading multiperiod portfolio |
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