| 基于CVaR投资组合优化问题的光滑化方法 |
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| 引用本文： | 张清叶,高 岩. 基于CVaR投资组合优化问题的光滑化方法[J]. 运筹与管理, 2017, 26(4): 158-164. DOI: 10.12005/orms.2017.0096 |
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| 作者姓名： | 张清叶 高 岩 |
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| 作者单位： | 上海理工大学 管理学院,上海 200093 |
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| 基金项目： | 国家自然科学基金项目(11171221);上海市一流学科项目(XTKX2012);上海市研究生创新基金项目(JWXCXSL1401) |
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| 摘 要： | 对选定的风险资产进行组合投资,以条件风险价值(CVaR)作为度量风险的工具,建立单期投资组合优化问题的CVaR模型。目标函数中含有多重积分与plus函数,产生情景矩阵将多重积分计算转化成求和运算,提出plus函数的一个新的一致光滑逼近函数并给出求解CVaR模型的光滑化方法,最后的实证研究表明了本文算法的优越性。
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| 关 键 词： | 投资组合优化 条件风险价值 光滑化方法 |
| 收稿时间： | 2015-06-27 |
A Smoothing Method for Portfolio Optimization Based on CVaR |
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| ZHANG Qing-ye,GAO Yan. A Smoothing Method for Portfolio Optimization Based on CVaR[J]. Operations Research and Management Science, 2017, 26(4): 158-164. DOI: 10.12005/orms.2017.0096 |
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| Authors: | ZHANG Qing-ye GAO Yan |
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| Affiliation: | School of Management, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | Portfolio investment on the given risky assets is considered in this paper. At first, we develop a CVaR model for the single phase portfolio optimization problem, using CVaR as the risk measure. Noticing that both multi-integral and plus function are contained in the objective function, we convert multi-integral calculation into summation operator by producing a scenario matrix. Then, we propose a new consistent smooth approximating function of the plus function and give a smoothing method for solving CVaR model at the same time. Finally, we give two empirical studies which illustrate the superiority of our algorithm. |
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| Keywords: | portfolio optimization conditional value-at-risk(CVaR) smoothing method |
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