二阶随机占优约束下考虑偏度的投资组合模型

在DentchevaRuszczynski(2006)模型的基础上,考虑偏度对构建投资组合的影响,建立了二阶随机占优约束下最大化组合收益率偏度的投资组合优化模型,并应用分段线性近似方法将模型转化为一个非线性混合整数规划问题.利用中国股票市场的历史数据对所建模型进行了实证分析,结果表明,所建新模型比均值-方差-偏度模型和市场指数具有更稳健的表现.

Portfolio Optimization with Skewness Under Second-Order Stochastic Dominance Constraints

Based on the optimization model with stochastic dominant constraint established by Dentcheva&Ruszczynski(2006),we formulate a risk averse portfolio optimization model under the constraint that the portfolio return rate stochastically dominates a benchmark return rate,and the objective function is to maximize the skewness of the rate of return of the portfolio.Then,by applying the piecewise linear approximation method proposed by Konno & Yamamoto(2005),the model are transformed into a mixed nonlinear integer programming problem.Empirical analysis of Chinese stock market shows that the portfolio model which consider the skewness of the return distribution under the stochastic dominant constraint is more robust than the mean- Variance- skewness model and the Shanghai Stock Exchange 180 index in investment performance.