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具有不确定交易价格的指数跟踪资产组合再平衡问题
引用本文:唐国华,刘婧.具有不确定交易价格的指数跟踪资产组合再平衡问题[J].应用数学与计算数学学报,2009,23(2):9-16.
作者姓名:唐国华  刘婧
作者单位:1. 乐线软件开发(上海)有限公司,上海,200233
2. 上海牧音计算机有限公司,上海,200335
摘    要:本文考虑具有某种不确定性的交易费用及预算约束的指数跟踪资产组合的再平衡问题。在已有的模型中,预算约束中使用的交易价格通常是一个确定值。而在再平衡过程中,股票的实际交易价格是不确定的。本文使用有限状态的离散时间马尔柯夫链模型处理交易价格的不确定性,并基于情景分析方法建立了具有不确定预算关系式的再平衡模型,然后使用股票市场的实际样本数据进行了数值实验,模拟结果说明本文的模型是可行的。

关 键 词:指数跟踪  再平衡  交易费  交易价格的不确定性  马尔柯夫链

One Rebalance Problem of Index Tracking Portfolio in which there is a Limit on Uncertain Transaction Costs
Tang Guohua,Liu Jing.One Rebalance Problem of Index Tracking Portfolio in which there is a Limit on Uncertain Transaction Costs[J].Communication on Applied Mathematics and Computation,2009,23(2):9-16.
Authors:Tang Guohua  Liu Jing
Abstract:This paper explores how to rebalance the index tracking portfolio in which we consider uncertainty of the transaction costs and constraint of the budget. It used to be treated as some certain values when the earlier papers dealt with the transaction costs in the formula of constraint of the budget. However, in the progress of rebalancing, the practical transaction costs of the stocks are not so certain at all. This paper solves the problem of uncertainty of the transaction costs by using Markov chains' model in dispersed time of finite status. And in basing on the method of situation analyze, we established a rebalancing model which includes uncertain budget relationship equations. Then the data experiments were taken by using the practical sample date of market of the stocks. The result of the simulation turned out to prove that the model is doable.
Keywords:index tracking  rebalance  transaction costs  uncertainty of the transac-tion value  Markov chains
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