摘要
在不完全市场下,研究基于随机基准的动态均值-方差投资组合选择问题.该问题也可以理解为一个跟踪误差动态投资组合问题,并将之转化为一个等价的考虑风险调整的期望相对收益最大化问题.利用随机动态规划方法,给出了最优投资策略和有效前沿的显式表达式.最后通过实证分析表明了不完全市场和完全市场下最优投资策略和有效前沿的变化,并对相关结论进行了经济解释.
In an incomplete market, the problem of dynamic mean-variance portfolio selection is investigated based on a benchmark defined by a stochastic process. The problem is also interpreted as a dynamic tracking-error portfolio selection, and is transformed as a problem of maximizing the expected relative return considering risk adjusted. Stochastic dynamic programming method is used to obtain explicit solutions of the optimal strategies and efficient frontier. Finally, an empirical analysis is conducted to illustrate the results obtained.
出处
《控制与决策》
EI
CSCD
北大核心
2014年第3期499-505,共7页
Control and Decision
基金
国家自然科学基金项目(70901079)
中央财经大学科研创新团队支持计划项目
关键词
动态投资组合
随机基准
最优投资策略
有效前沿
dynamic portfolio selection
stochastic benchmark
optimal strategies
efficient frontier
