开环策略下多阶段均值-方差投资组合优化研究

首先研究开环策略下不同财富动态过程的多阶段均值-方差投资组合优化模型,讨论它们的实际意义和计算方法,其中投资比例财富动态过程模型为高度非线性非凸数学规划.进一步研究投资比例财富动态过程模型实际计算问题,并且通过构造辅助模型,给出投资比例两阶段模型的全局解求解方法并通过数值算例和仿真说明该方法的有效性和准确性.最后通过数值算例比较不同财富动态过程在开环策略下和闭环策略下前沿面的关系,结果表明在闭环策略下三种财富过程等价,但是在开环策略下资产财富模型的前沿面最高、资产调整模型的前沿面次之、投资比例多阶段模型的前沿面最低.

Multi-period Mean-variance Portfolio Optimization with Open-loop Strategy

This paper studies the multi-period mean-variance portfolio model with openloop strategy under different wealth dynamic process and discusses their practical significance and calculation methods,where the investment ratio wealth dynamic process model is highly nonlinear and non convex mathematical programming.We further investigate the problem of solving investment ratio model.By constructing auxiliary model,we get the global optimal solution of two-stage,investment ratio model and illustrate the validity and accuracy by numerical examples and simulations.Finally,we compare the frontiers under different wealth dynamics process in open-loop and closed-loop strategies through numerical examples.The results show that the frontiers of three wealth dynamics process are the same in close-loop strategy,but in an open-loop strategy,frontier of asset wealth model is highest,frontier of asset adjustment model followed and frontier of investment ratio model is lowest.