引入股指期货的两阶段投资组合选择模型

Portfolio Selection Based on Two-stage Stochastic Program

本文基于投资组合的安全第一准则,建立了带补偿的两阶段随机规划投资组合选择模型。由于市场中投资者更关注下行风险,故本文利用下半绝对偏差来度量投资风险,并引入股指期货对系统风险进行对冲,从而保证投资组合收益的稳定性。同时,文章利用数值算例对模型进行验证,通过对实际算例的结果分析,我们发现组合在下行市场中表现出良好的收益与较低的波动性。为了保证投资策略在上行市场中的投资收益,本文还对市场趋势进行预先判断,以此作为股指期货投资策略调整的依据。

Based on the safety-first portfolio theory,aportfolio selection strategy is proposed using twostage stochastic programming model with recourse.In order to reflect that most of investors care more about the downside risk,mean absolute downside deviation is utilized as the risk measure,and the index futures is taken to hedge the market's systematic risk.As a result,a stable return is obtained.However,it is found that the portfolio performs well in the upward market,in contract to the bad performance in the downside market.To deal with this problem,apre-analysis about the market tendency,is carried out to adjust our strategy to get a better performance.