连续投资过程中的资金规划研究

Study on the Capital Programming of Continuous Investment Process

传统资产配置模型讨论的是一个时间段内的资金规划问题,因此存在一个总资金约束,即所有投资机会的投入资金总和不超过初始资金。如果在规划模型中考虑加入投资机会的起止时间因素,约束条件将变得更为复杂。文章给出了该类规划问题约束方程的通用形式,指出其求解方法,探讨了实际操作中的决策流程,最后给出了一个算例并与其他方法进行了比较,结果显示该方法在不同目标函数下均能有效达到规划目标。

Generally speaking, traditional models of asset allocation discuss capital allocation in a certain period of time, thus therc is the total capital constrains which is the total capital invested in opportunities must be less than or equal to the initial capital.If time factor including starting and ending time of an investment opportunity is added to the programming model, the constrain! will become more complicated.ln this paper, a general capital constraint is proposed, and its solution is also presented. Then the whole process of programming is put forward by analyzing cases in the actual investment. At last, an example is given to compare with other methods, which shows the programming can achieve its goal under different objective functions and has better performance.