基于红利的信息控制投资组合优化模型

The Model of Portfolio Optimization Based on Information Control and Dividend

考虑基于非系统风险的投资组合问题,本文首先构建信息风险控制函数,其次将信息风险控制函数引入投资组合模型中,提出了基于信息风险的投资组合模型,并将资产红利引入模型中,最后应用罚函数算法对模型进行求解,并给出模型和算法的实证分析,研究表明:随着投资者预期收益率的增大,基于红利的信息控制投资组合模型比不带信息风险控制函数的投资组合模型具有较低的风险,能更好地规避投资风险.

Considering the non-systematic risk-based portfolio problem, the paper first constructs the information risk control function. And introduces the information risk control function into the portfolio model, puts forward the portfolio model based on the information risk and introduces the dividend into the model, Finally, the penalty function algorithm is used to solve the model and the empirical analysis of the model and algorithm is given. The results show that the dividend based information control port- folio model is more effective than the non-information risk control function with the increase of the in- vestors expected return, and the portfolio model has lower risk and can better to avoid investment risks.