均值—动态VaR多阶段投资组合优化研究

将动态风险度量方法运用到多阶段投资组合中,提出了具有交易成本和交易量限制的均值—动态VaR多阶段投资组合模型,并运用自创算法——离散近似迭代法求解.方法的基本思路为:首先,将模型中的连续型状态变量离散化,并将上述模型转化多阶段赋权有向图,然后,运用极大代数求出起点至终点的最长路程,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.证明了该方法的收敛性,并以一个具体的算例,验证了该算法可以较快地计算出不同终期财富所对应的最优投资策略.

The Optimization on the Mean-Dynamic VaR Multiperiod Portfolio Selection

Using the dynamic risk measure to the multiperiod portfolio,the paper proposes the mean-dynamic VaR multiperiod portfolio selection model with the transaction costs and the constraints on trade volumes,and uses our own method-the discrete approximate iteration method to solve it.Firstly,discretizes the state variables and transforms the model into multiperiod weighted digraph;Secondly,uses max-plus to solve the minimal path that is the admissible solution;At last,continues iterating until the two admissible...