引入股指期货的两阶段投资组合选择模型
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摘要
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.
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.
引文
[1]Markowitz H.Portfolio selection[J].The journal of finance,1952,7(1):77-91.
[2]Roy A D.Safety first and the holding of assets[J].Econometrica:Journal of the Econometric Society,1952,20(3):431-449.
[3]Dantzig G B.Linear programming under uncertainty[J].Management science,1955,1(3-4):197-206.
[4]Higle J L,Sen S.Stochastic decomposition:An algorithm for two-stage linear programs with recourse[J].Mathematics of operations research,1991,16(3):650-669.
[5]Miller N,Ruszczynski A.Risk-averse two-stage stochastic linear programming:modeling and decomposition[J].Operations research,2011,59(1):125-132.
[6]He Fang,Qu Rong.A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems[J].Information Sciences,2014,289:190-205.
[7]郭文旌,胡奇英.不确定终止时间的多阶段最优投资组合[J].管理科学学报,2005,8(2):13-19.
[8]金秀,黄小原,马丽丽.基于VaR的多阶段金融资产配置模型[J].中国管理科学,2005,13(4):13-16.
[9]迟国泰,余方平,王玉刚.基于动态规划多期期货套期保值优化模型研究[J].中国管理科学,2010,18(3):17-24.
[10]李仲飞,姚海祥.不确定退出时间和随机市场环境下风险资产的动态投资组合选择[J].系统工程理论与实践,2014,34(11):001.
[11]Chang K H,Chen Huifen,Lin C F.Application of two-stage stochastic linear program for portfolio selection problem[C]//Proceeding of the Conference of Computational Science and Its Applications-ICCSA,Glasgow,uk,May 8-11,2006.
[12]Chang K H,Chen H J,Liu C Y.A stochastic programming model for portfolio selection[J].Journal of the Chinese Institute of Industrial Engineers,2002,19(3):31-41.
[13]张喜彬,荣喜民,张世英.有关风险测度及组合证券投资模型研究[J].系统工程理论与实践,2000,20(9):19-22.
[2]Roy A D.Safety first and the holding of assets[J].Econometrica:Journal of the Econometric Society,1952,20(3):431-449.
[3]Dantzig G B.Linear programming under uncertainty[J].Management science,1955,1(3-4):197-206.
[4]Higle J L,Sen S.Stochastic decomposition:An algorithm for two-stage linear programs with recourse[J].Mathematics of operations research,1991,16(3):650-669.
[5]Miller N,Ruszczynski A.Risk-averse two-stage stochastic linear programming:modeling and decomposition[J].Operations research,2011,59(1):125-132.
[6]He Fang,Qu Rong.A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems[J].Information Sciences,2014,289:190-205.
[7]郭文旌,胡奇英.不确定终止时间的多阶段最优投资组合[J].管理科学学报,2005,8(2):13-19.
[8]金秀,黄小原,马丽丽.基于VaR的多阶段金融资产配置模型[J].中国管理科学,2005,13(4):13-16.
[9]迟国泰,余方平,王玉刚.基于动态规划多期期货套期保值优化模型研究[J].中国管理科学,2010,18(3):17-24.
[10]李仲飞,姚海祥.不确定退出时间和随机市场环境下风险资产的动态投资组合选择[J].系统工程理论与实践,2014,34(11):001.
[11]Chang K H,Chen Huifen,Lin C F.Application of two-stage stochastic linear program for portfolio selection problem[C]//Proceeding of the Conference of Computational Science and Its Applications-ICCSA,Glasgow,uk,May 8-11,2006.
[12]Chang K H,Chen H J,Liu C Y.A stochastic programming model for portfolio selection[J].Journal of the Chinese Institute of Industrial Engineers,2002,19(3):31-41.
[13]张喜彬,荣喜民,张世英.有关风险测度及组合证券投资模型研究[J].系统工程理论与实践,2000,20(9):19-22.