基于鲁棒优化的投资组合模型在投资基金中的应用

Portfolio Model Based on Robust Optimization and Its Application to Investment Funds in China

在基于鲁棒的投资组合选择模型的基础上,根据国内实际情况,改进了模型的约束条件,建立了适合国内情况的基于鲁棒优化的投资组合选择模型.以我国"新蓝筹"投资基金的股票选择问题为背景,运用线性矩阵不等式,考虑了股票价格的期望收益和协方差矩阵及利率的不确定性,给出了"新蓝筹"基金的股票选择权重和投资收益,并与基金的实际投资收益进行了比较.结果表明,基于鲁棒优化的投资组合选择模型在我国基金管理中是有效、可行的.

According to the current situation in China portfolio optimization model was redeveloped to adapt and relevant constraint conditions, a robust to domestic circumstances. Taking account of the stock selection of China＇s ＂New Blue Chip＂ securities investment funds and using the linear matrix inequalities （LMI）, the uncertainties of expected returns from stock prices, covariant matrix and interest rate in stock market were discussed. The weights of stocks selected and returns on investment of the ＂New Blue Chip＂ funds were therefore given and compared with the actual returns on investment funds. The empirical results indicated that the robust portfolio optimization model based on LMI is efficient and feasible in domestic funds management.