效用函数意义下证券组合投资问题的改进决策树方法

A Method of Improved Decision Tree on the Problem of Portfolio Investment about Utility

基于Markowitz证券组合投资决策模型,运用效用理论中的均值-方差效用函数与决策理论中的决策树方法,提出了一种证券组合投资问题的改进决策树方法;探讨与分析了改进决策树方法的构造与求解过程。改进决策树方法不但可以对证券组合投资问题的决策方案集进行最优投资策略的选择,而且可以对该决策方案集按照一定的标准进行排序。

In this paper, based on the model of Markowitz＇s Portfolio Investment, We proposed the improved decision tree method under the mean variance utility function and the decision tree method in decision theory. We discussed and analysised the process of improvement and solution. The new method not only discussed how to select the optimal portfolio decision, but also rank the alternatives of the portfolio investment set.