基于下方风险控制的动态投资组合优化研究

研究了跳扩散结构下带有下方风险控制的动态投资组合优化问题.基于投资组合中每一种资产的收益率观测序列,模型在不断变化的数据窗口下把组合比例看作向量值随机过程,利用马尔可夫链蒙特卡罗模拟方法得到随时间变化的动态投资组合最优配置,这样可以根据市场信息的变化及时做出策略调整,既达到了预期收益目标又控制了风险,使得组合投资更切实际.通过实例分析可以看出,该方法相对传统方法更行之有效而且操作简便.

Research on Dynamic Optimal Portfolio under a Downside-risk Constraint

In a Jump-Diffusion setting, a downside-risk constraint is imposed. Based on historic return sequence, we gained everyday's optimal portfolios by randomizing the allocation ratios and making use of MCMC method. Further more, with the data-windows' rolling, we can achieve variable optimal portfolios and promptly adjust our investment strategies which ensure us to higher return or ensure us from higher risk.