摘要
考虑交易成本、阀值约束和借贷约束,提出了具有基数约束的多阶段均值-方差投资组合模型.该模型是一个具有路径依赖性的混合整数动态优化问题.提出了离散近似迭代法求解,并证明了算法的收敛性.最后,以一个具体的算例比较了不同基数约束的投资组合最优投资策略,并验证了模型和算法的有效性.
The multi-period mean-variance portfolio selection was presented by taking into account transaction cost,threshold constraints,borrowing constraints and cardinality constraints.Because of the transaction costs,the multi-period portfolio selection is the mix integer dynamic optimization problem with path dependence.The discrete approximate iteration method was designed to obtain the optimal portfolio strategy.Finally,the comparison analysis of the differently desired number of assets in the portfolio selection was provided by a numerical example to illustrate the efficiency of the proposed approaches and the designed algorithm.
基金
国家自然科学基金(71271161)
国家社会科学基金(13BJL0062)资助
关键词
多阶段投资组合
均值-方差
基数约束
交易成本
离散近似迭代法
multi-period portfolio selection
mean-variance
cardinality constraint
transaction costs
discrete approximate iteration
