多期投资组合问题的优化分析

The Optimization Analysis of Multi-period Portfolio Problem

根据实践中风险分散的要求,在多期投资组合问题中加入资产分散约束,建立了该问题的随机规划模型,并将其转化为两阶段有补偿模型.然后将资产虚拟为局中人,构造了一个合作博弈问题.利用随机规划的对偶理论证明了该合作博弈存在核心分配,结论显示将初始资金投资到全部资产上的多期投资组合,其收益优于分散初始资金、分散资产组合的投资方法.

This paper mainly focuses on the multi-period portfolio problem.A constraint is added to the multi-period portfolio problem and the model is transformed into a two-period model with recourse.Then we regard the securities as players in a game to construct a cooperative game.In the end,on the basis of the duality theory of stochastic programming,we prove that the core of this game is nonempty,which demonstrates that the investor should choose all the securities to create just one multi-period portfolio se-lection.