基于下偏矩的资源配置优化模型求解方法研究

Study on the Solving Method of Optimal Model of Asset Allocation in a Mean-LPMs Framework

在证券投资理论中 ,投资风险是以收益率的方差计量的 ,尽管以方差计量风险计算简单 ,但有一些严格假设 ,这些假设往往与实际不符 .以下偏矩作为风险计量指标 ,在理论上克服了方差的不足 ,但以下偏矩为目标函数的资源配置优化模型求解复杂 ,从而制约了下偏矩在实际中的应用 .针对Harlow均值 -下偏矩资源配置优化模型求解的困难 ,通过恰当变换 ,得到了该模型的转换形式 ,此转换模型不但求解容易 ,而且能得到相应证券组合的下偏矩统计量精确值 。

In the theory of stock investment, the investment risk is measured by variance of investment return. Although the variance is simply calculated, it needs some strict hypotheses that are not constant with practice in stock market. Using LPMs as the measure of investment risk can overcome the flaws of variance in theory, but the solution the optimal model of asset allocation whose object function is LPMs is much more complicated, so that it confines the use of LPMs in practice. This paper, in view of the difficulty of solving Harlow's Optimal Portfolio Model, obtains the transformation form of the Harlow's Optimal Portfolio Model by appropriate alternation. The transforming model is not only solved easily, but through it, the accurate value of LPM statistic corresponding to a certain portfolio can also be obtained. It provides a simple and useful method of using LPM in investment analysis.