摘要
首次将因子模型与多期均值-方差模型相结合,建立了单因子结构下的新型多期均值-方差模型,并且利用二次规划方法得到了此模型的解析最优投资策略.为使这一结论具有普适性,又将它推广到了多因子模型情形,并且得到了与单因子模型下类似的结论.最后,通过数值算例验证了本文的理论结果.新模型确定最优投资策略的方法,是一个科学且可操作性强的方法.
By combining the single-factor model and the multi-period mean-variance model, we first propose a new multi-period mean-variance model under the single-factor model, and obtain its explicit optimal investment strategy by using the quadratic programming tech- nique. As a generalization of these conclusions, we then extend the above model to the multi- factor model situation and derive similar conclusions. Finally, some numerical examples show the effectiveness of the theoretical results.
出处
《系统科学与数学》
CSCD
北大核心
2011年第7期824-836,共13页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金面上项目(70971109)和重点项目(70531030)资助
关键词
均值-方差
因子模型
因子载荷
多期投资组合.
Mean-variance models, factor model, factor loading, multiperiod portfolio.