摩擦市场下买空-卖空投资组合选择的优化方法

Optimization approach for long-short portfolio selection under the attrition market

在假设投资者是风险厌恶的前提下,提出了一种新的买空-卖空投资组合选择模型,并考虑了交易费这种摩擦.采用极大熵方法对模型进行优化,并给出这一问题的数值解法.实证分析表明,投资者最低满意收益率的高低直接决定了人们对风险的控制程度,且投资的风险与投资者的最低满意收益率是正相关的.

A new long-short portfolio selection model is proposed with the attrition of transaction cost while we supposing that the investors are risk-aversed. A numerical method for the problem is given by using the maximum entropy technology. The numerical examples show that the minimum of risk depends on the lowest return satisfactory to the investor. And the lowest satisfied return positively affects the risk of portfolio.