多阶段均值-方差投资组合选择问题研究

Study on multi-stage mean-variance portfolio selection problem

证券投资组合决策时会受到个人的或客观的重大因素的影响.考虑到决策时的这些因素,引入参数和贝叶斯理论,对终端财富增长倍数的期望均值和风险方差进行合理的权衡,建立一个多阶段均值-方差最有投资组合选择模型,利用逆向动态规划的方法进行研究,最终推导出其最优投资策略的解析表达式.

In this paper , taking into account the affect of uncertainty factor on securities port-folio decision, introduced a parameter and the Bayesian theorem , and made a reasonable balance on the mean and variance of the terminal wealth growth multiples , established a multi-stage mean-variance optimal portfolio selection model , used reverse dynamic program-ming method to derive the analytical expression of the optimal investment strategy .