多期投资组合的优化-分析与其鲁棒模型-研究

《多期投资组合的优化-分析与其鲁棒模型-研究》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。

1、山东大学硕士学位论文关键词：多期投资组合；随机规划；合作博弈；鲁棒优化山东大学硕士学位论文TheOptimizationAnalysisandRobustModelingofMulti--stagePortfolioProblemBaolinQu(SchoolofMathematics，ShandongUniversity,Jinan，250100)(Professor：XiaoxiaRong)ABSTRACTThispapermainlyfocusesOilthemulti～stageportfolioproblem，whichismodelingasast

2、ochasticprogrammingsincesomeparameterswereregardedasstochastic．Tilefiz‘stpal。tofthispapeI。istheoptimizationanalysisoftIlemulti—stageportfolioproblem．WeassumethattheinvestorwantstodoaT—stagesinvestmentonnsecurities，andtheproblemiSthattheinvestorwantstotellwhetheronewholeportfoliosele

3、ctionisbetterthansomeportfolioselections．Weaddedaconstrainttothemulti．．stageportfolioproblemandmodeleditasatwo-stagemodelwithrecourse．ThenweregardedthesecuritiesasplayerslIlagametoconstructacooperativegame．Intheend，withthehelpofthedualityofstochasticprogramming，weprovedthatthecoreof

4、thisgameisnonempty，whichdemonstratesthattheinvestorshouldchooseallthesecuritiestocreatejustonemulti—stageportfolioselection．Inthesecondpartofthepaper，wediscussedthefactthattheoptimalsolutiontotheclassicalmean-variancemodelissensitivetothesamplemean．Thatistosay，themodelisnotrobust．We

5、triedtomodelamulti．stageportfolioselectionwittlthehelpofthedefinitionofrobustness．Itisverydifficulttosolveastochasticprogrammingwithtraditionalapproaches．Inthispaper，weusetherobustoptimizationapproachsuccessfullyturnthestochasticlinearconstraintintoastochasticprogrammingtosomesecond

6、aryorderconeprogrammingwhichiseasytosolverelatively．Intheend，wechooseanexampletoprovethecomputingtractabilityoftherobustnessapproach．Keywords：Multi—stageportfolioproblem；stochasticprogramming；co-——III山东大学硕士学位论文operativegame；robustoptimizationIV——山东大学硕士学位论文ei(z)z：Z￡I诈(5z)Q1y符号说明随机向量笫

7、t期中资产i的收益率，其随机性由z决定第￡期中投资到资产i上的资金数第t期初投资者的总资金数鲁棒可行集不确定集合的半径随即向量的支撑集合V一山东大学硕士学位论文第一章绪论本章首先阐述了本文的研究背景和意义，然后介绍了多期投资组合问题及模型，最后介绍了本文内容与创新点。§1．1研究背景和意义随着我国加入WTO，我国金融市场不断开放，金融产品逐渐进入百姓们的生活，股票期货等金融产品对普通人来说己不是陌生的概念，人们的投资理财意识也在日益增强，投资理财已经成为人们生活中一个重要话题。投资者在金融市场有众多金融产品供选择，如股票、期货、外汇等。此时选择金融产品投资，投

8、资多少成为一个复杂的问题。风险与收益是