基于滚动经济回撤约束和下半方差的最优投资组合策略

Optimal portfolio strategy under rolling economic drawdown constraints with lower semi-variance

最大回撤和下半方差均是投资者在实际投资过程中非常关注的风险指标．本文创造性地将这两个风险指标纳入投资组合分析框架，提出了基于风险资产滚动经济回撤约束和下半方差的最优投资组合策略（REDP-LSV策略）．该策略以风险资产滚动经济最大回撤为约束条件，以风险资产的下半方差代替方差，研究了投资组合中风险资产的动态配置过程，并给出了解析解．分别采用模拟的实验数据以及中国市场实际风险资产数据，研究了投资组合中包含一种风险资产和两种风险资产的情况，结果均显示REDP-LSV策略能很好地控制最大回撤，且更能提高投资绩效．

The maximum drawdown and the lower-semi-variance are risk indicators that investors con- cern about during the actual investment process. This paper combines this two indicators into analytical framework and proposes an optima] portfolio strategy under rolling economic drawdown constraints with lower-semi-variance （REDP-LSV strategy）. Under the constraint of the rolling economic maximum draw- down of risky asset＇s prices, we have studied the dynamical allocation of the risky assets in the portfolio and derived a analytical solution by using the lower-semi-variance instead of the variance of risky asset. The investment cases of one risky asset and two risky asset are both studied in this paper. Using data from simulated experiment and real risky assets of Chinese stock market, it turns out that the REDP-LSV strategy is able to control the maximum drawdown and improve the performance of investment.