基于CVaR与平均离差波动性限制的多阶段投资组合模型

Multi-stage portfolio investment model based on CVaR and restrictions of average deviation volatility

提出了一种基于CVaR的多阶段投资组合模型,用离散型动态规划把各阶段投资过程整合为一个整体,对组合资产收益率做正态分布假设,用拉格朗日乘子法将平均离差MAD模型写入目标函数,实现波动性度量限制.实验结果表明,该模型满足实际投资要求,符合实际投资规律,与原始多阶段CVaR模型相比具有资产组合收益率波动性较小的优势.

A portfolio model based on the model CVaR is proposed,using discrete dynamic programming to make the investment in different stages of the process integration as a whole,make normal distribution hypothesis on profit of portfolio,put average deviation model MAD into the objective function with Lagrange multiplier method to realize the measurement limit of volatility.The experimental results show that the model satisfy actual investment requirements,conform to the actual investment law,and compared with original model CVaR,it has advantage of volatility.