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11-356 修回稿 具有多元权值约束的鲁棒 LPM 积极投资组合问题
Robust LPM Active Portfolio selection problems with Multiple Weights Constraints
摘要点击 3726  全文点击 53  投稿时间:2012-03-22  修订日期:2012-03-22
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中文关键词  鲁棒投资组合, 积极投资组合管理,跟踪误差,下方风险度量, 权值约束
英文关键词  Robust portfolio selection; active portfolio management; tracking error; downside risk measure; weights constraint
基金项目  国家自然科学基金重点项目(No.70933003), 国家自然科学基金青年基金(No.71001045),中国博士后基金面上项目(No.2010048049) ,江西财经大学优秀青年学术人才支持计划
学科分类代码  
作者单位E-mail
凌爱凡 江西财经大学蛟桥园 金融学院 aifanling@yahoo.com.cn 
杨晓光 中国科学院,管理、决策与信息系统重点实验室  
中文摘要
      在用方差控制投资组合风险的同时,由于方差的对称性导致投资组合的收益也受到限制。 相比之下,下偏距 (lower partial moment: LPM) 由于具有只控制风险,而不限制收益的特点,在近年来倍受关注。但在非正态假设下,LPM 无法获得良好的解析性质。本文在对资产收益分布未知的假设下,通过使用最坏情形下的LPM来度量投资组合的损失,提出了一类具有多元权值约束的鲁棒积极投资组合问题,并获得了具有 -阶LPM 约束的鲁棒积极投资组合问题的解析解。通过分析解的性质和比较问题的有效前沿,得到了许多有趣的和新颖的结果。数值结果比较表明, 鲁棒 LPM 模型比经典的均值-方差模型具有许多更好的性能。
英文摘要
       The return of portfolio will also be limited when one uses variance of portfolio to control risk. Comparing with the shortcoming of variance, lower partial moment (LPM) are paid close attention by many researchers due to the fact that LPM controls only the risk of portfolio and not limits the return. But under the assumption of non-normal distribution, one can not generally obtain the analytic properties of LPM models. By motivated these facts, under the assumption of uncertainty distribution, we propose a class of robust tracking error portfolio selection problems with multiple weights constraints in which we use worst-case lower partial moment (LPM) to measure the loss of portfolio. The analytic solutions of the proposed robust models with -order LPM constraints are obtained. Some interesting and novel results are found based on the geometrical presentations of efficient frontiers. The numerical comparisons indicate that the proposed robust models have much better performance than the classical mean-variance model.
相关附件:   修改说明  11-356 原始稿件
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