安全第一准则下含有参数的多阶段投资组合

Safety-First Multi-Period Portfolio Selection with a Parameter

多阶段投资组合的安全准则是最终财富小于预先给定的一个值的概率最小化的问题,证券投资组合决策时会受到个人的或客观的重大因素(金融危机或者政治因素)的影响。考虑到决策时的这些因素,引入参数和贝叶斯理论,对安全第一准则下的投资组合进行推广并建立模型,利用逆向动态规划的方法最终推导出其最优投资策略的解析表达式。

Based on safety first criterion, an optimal multi-period portfolio policy is sought to min- imize the probability that the terminal wealth is below a preselected level. Taking into account the af- fect of uncertainty factor on securities portfolio decision, we introduce a parameter and the Bayesian theorem, extend the safety-first multi-period portfolio selection problems and establish a model, then we use reverse dynamic programming method to derive the analytical expression of the optimal invest- ment strategy.