考虑背景风险的多期破产控制投资组合模型

Multi-period Portfolio Model of Bankruptcy Control with Background Risk

现有的多期投资组合模型通常只考虑投资风险,而在实际投资中,投资者不仅面临投资风险,还会面临加性和乘性两类背景风险.针对缺乏考虑两类背景风险的不足,研究同时考虑投资风险和两类背景风险的多期投资组合问题,构建考虑背景风险和破产控制的多期均值-方差投资组合模型.然后,应用粒子群算法对模型进行求解,并通过实证分析验证两类背景风险对多期投资决策存在的影响.因此,在多期投资组合问题中考虑两类背景风险是重要的.

The researches about multi-period portfolio model usually only consider investment risk. However,in the actual investment event,investment risk is not the only source of risk that investors face,they also face other sources of risk called additive and multiplicative background risk. Considering that there is lack of research taking the two types of background risk into account in multi-period portfolio model,we study the multi-period portfolio problem with both investment risk and the two types of background risk. In this paper,we propose a multi-period meanvariance portfolio model with the two types of background risk and bankruptcy control. Then we solve the model by particle swarm optimization and perform an empirical analysis. The empirical analysis confirms that the two types of background risk have influences on optimal multi-period portfolio strategies. Therefore,it is important to consider the two types of background risk in the multi-period investment with bankruptcy control.