本文選題：多階段投資 + 組合優(yōu)化�。� 參考：《數(shù)學(xué)的實(shí)踐與認(rèn)識(shí)》2017年09期

【摘要】：首先研究開(kāi)環(huán)策略下不同財(cái)富動(dòng)態(tài)過(guò)程的多階段均值-方差投資組合優(yōu)化模型,討論它們的實(shí)際意義和計(jì)算方法,其中投資比例財(cái)富動(dòng)態(tài)過(guò)程模型為高度非線性非凸數(shù)學(xué)規(guī)劃.進(jìn)一步研究投資比例財(cái)富動(dòng)態(tài)過(guò)程模型實(shí)際計(jì)算問(wèn)題,并且通過(guò)構(gòu)造輔助模型,給出投資比例兩階段模型的全局解求解方法并通過(guò)數(shù)值算例和仿真說(shuō)明該方法的有效性和準(zhǔn)確性.最后通過(guò)數(shù)值算例比較不同財(cái)富動(dòng)態(tài)過(guò)程在開(kāi)環(huán)策略下和閉環(huán)策略下前沿面的關(guān)系,結(jié)果表明在閉環(huán)策略下三種財(cái)富過(guò)程等價(jià),但是在開(kāi)環(huán)策略下資產(chǎn)財(cái)富模型的前沿面最高、資產(chǎn)調(diào)整模型的前沿面次之、投資比例多階段模型的前沿面最低.
[Abstract]:This paper first studies the multi-stage mean-variance portfolio optimization models of different wealth dynamic processes under open-loop strategy, and discusses their practical significance and calculation methods, in which the investment proportional wealth dynamic process model is highly nonlinear non-convex mathematical programming.In this paper, the practical calculation problem of the dynamic process model of investment proportional wealth is further studied, and the auxiliary model is constructed.The global solution of the investment scale two-stage model is presented and the effectiveness and accuracy of the method are illustrated by numerical examples and simulations.Finally, numerical examples are used to compare the relationship between the open loop strategy and the closed loop strategy. The results show that the three wealth processes are equivalent under the closed loop strategy, but the asset wealth model has the highest frontier under the open loop strategy.The frontier of asset adjustment model is the second, and the investment proportion multistage model is the lowest.
【作者單位】： 北京大學(xué)經(jīng)濟(jì)學(xué)院;中國(guó)民生銀行;湖南大學(xué)工商管理學(xué)院;廣東工業(yè)大學(xué)可拓學(xué)與創(chuàng)新方法研究所;
【基金】：國(guó)家自然科學(xué)基金(61503085)
【分類(lèi)號(hào)】：F830.59

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