發(fā)布時(shí)間：2019-07-29 09:49

【摘要】：在考慮資產(chǎn)收益率分布中正的偏度水平前提下,以風(fēng)險(xiǎn)價(jià)值VaR為約束條件,并引入非線性交易費(fèi)用、稅收等市場摩擦因素,建立以累積偏度最大為目標(biāo)函數(shù)的多期投資組合優(yōu)化模型,用罰函數(shù)法和PSO算法結(jié)合求解此模型,并給出實(shí)證分析�？紤]到在買賣資產(chǎn)風(fēng)險(xiǎn)時(shí)交易費(fèi)用等對投資收益的影響,投資者應(yīng)該在每一期都對其資產(chǎn)組合進(jìn)行調(diào)整分析,確保在每一期的開始都建立起符合需要的最優(yōu)資產(chǎn)組合,這對投資者的連續(xù)投資行為具有一定的指導(dǎo)意義。
[Abstract]:On the premise of considering the positive skewness level in the distribution of return on assets, taking the risk value VaR as the constraint condition and introducing nonlinear transaction costs, taxes and other market friction factors, a multi-period portfolio optimization model with the maximum cumulative skewness as the objective function is established. The model is solved by penalty function method and PSO algorithm, and the empirical analysis is given. Considering the influence of transaction cost on investment return when buying and selling asset risk, investors should adjust and analyze their asset portfolio in each phase to ensure that the optimal portfolio is established at the beginning of each phase, which has certain guiding significance for investors' continuous investment behavior.
【作者單位】： 北方民族大學(xué)信息與系統(tǒng)科學(xué)研究所;寧夏大學(xué)數(shù)學(xué)與計(jì)算機(jī)學(xué)院;
【基金】：國家社會(huì)科學(xué)基金項(xiàng)目,項(xiàng)目編號:07XJY038 國家教育部社科規(guī)劃項(xiàng)目,項(xiàng)目編號:06JA630056
【分類號】：F224;F830.91

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