博弈论在投资组合选择中的应用

The Application of Game Theory to Portfolio Investment

博弈论是研究竞争与合作的理论 ,二人零和博弈是局中人是两个人的情况下 ,一个人的所得为另一个人的所失。把该理论运用到投资组合的选择上 ,根据同一证券在不同经济状况下的BEAT值不同 ,构成一个由N种证券在M种不同经济状况下的BETA矩阵 ,再由CAPM模型 ,得到它的收益 (利润 )矩阵 ,再根据线性规划的方法求得最优解。由此能解决在下期不确定性情况下的最优投资组合。

Game theory is a theory of competence and cooperation, two-people game is about two people in the event in which what one coses is what and the other gets. In this article, the theory is used in portfolio choice. Since the BETA of the same security is different in different economic conditions that makes up BETA matrix we can obtain the yield(profit) matrix by CAPM model, then gets the optimal solution by linear program. So we can resolve the problem about the optimal portfolio choice under uncertain conditions.