改进的投资组合均值方差模型的交互式决策方法
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- 英文论文题名：Interactive decision making method based on improved Mean-Variance model for portfolio
- 论文作者：胡仕成 ; 杨悦 ; 刘腾娇
- 英文论文作者：HU Shicheng ; YANG Yue ; LIU Tengjiao ; School of Economics & Management ; Harbin Institute of Technology
- 年：2016
- 作者机构：哈尔滨工业大学经管学院;
- 论文关键词：投资组合 ; 均值方差模型 ; 交互式决策
- 英文论文关键词：Portfolio ; Mean-Variance Model ; Interactive Decision
- 会议召开时间：2016-09-28
- 会议录名称：第十一届（2016）中国管理学年会论文集
- 语种：中文
- 分类号：F224;F832.51
- 学会代码：ZGUH
- 会议名称：第十一届（2016）中国管理学年会
- 会议地点：中国黑龙江哈尔滨
- 主办单位：中国管理现代化研究会、复旦管理学奖励基金会
- 学会名称：中国管理现代化研究会
- 页数：10
- 文件大小：913k
- 原文格式：D
- 会议级别：全国
摘要
如何将资金合理分配到投资项目中,以在获得较高收益的同时保持较低的风险是现如今投资者关注的首要问题,也是投资组合理论的关键问题。针对我国证券投资市场中交易费用的普遍性和重要影响,以及我国投资者大部分属于风险规避型等实际情况,建立了同时考虑交易费用和无风险资产的改进投资组合均值方差模型。为了辅助投资者从算法求得的有效前沿中找到最满意的投资方案,以实现模型的有效应用,设计了一个针对改进的投资组合均值方差模型的交互式决策过程。基于交互式过程采用我国沪深A股主板市场的实际数据对模型进行应用验证。应用效果证明,投资者可以使用改进的投资组合均值方差模型,在交互式决策过程的引导下,从包含多个非劣解的Pareto最优解集中选出最贴近其需求的投资方案,提高了投资方案中投资组合的实际应用价值。
For the investors, how to allocate a certain amount of capital to a set of assets in order to get higher gain at the cost of lower risk is their first concern, which is also the key problem in portfolio optimization theory. The universality and the important impact of the transaction costs in actual situation for China's securities investment market, and the majority of Chinese investors were risk-averse, establishing the portfolio mean-variance model, which considering transaction costs and risk-free asset. In order to assist investors to find the most satisfied investment program from Pareto front obtained by the algorithm, and achieve the effective application of the model, we designed an interactive decision-making process to improve a portfolio mean-variance model. We apply the model with the actual data in Shanghai and Shenzhen A-shares main board market. Application results proved that investors are able to use the improved portfolio mean-variance model through the interactive decision-making process. What's more, it's easy to choose their favorite portfolio from Pareto set with the help of the interactive decision-making process. In this way, not only the burden of investors is reduced, but also the application value of the portfolios in the Pareto set is also improved.
For the investors, how to allocate a certain amount of capital to a set of assets in order to get higher gain at the cost of lower risk is their first concern, which is also the key problem in portfolio optimization theory. The universality and the important impact of the transaction costs in actual situation for China's securities investment market, and the majority of Chinese investors were risk-averse, establishing the portfolio mean-variance model, which considering transaction costs and risk-free asset. In order to assist investors to find the most satisfied investment program from Pareto front obtained by the algorithm, and achieve the effective application of the model, we designed an interactive decision-making process to improve a portfolio mean-variance model. We apply the model with the actual data in Shanghai and Shenzhen A-shares main board market. Application results proved that investors are able to use the improved portfolio mean-variance model through the interactive decision-making process. What's more, it's easy to choose their favorite portfolio from Pareto set with the help of the interactive decision-making process. In this way, not only the burden of investors is reduced, but also the application value of the portfolios in the Pareto set is also improved.
引文
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[16]Jobst N J,Horniman M D,Lucas C A,et al.Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints[J].Quantitative Finance,2001,1(5):489-501.
[2]Markowitz H.Portfolio selection[J].The Journal of Finance,1952,7(1):77-91.
[3]Sharpe W F.A simplified model for portfolio analysis[J].Management Science,1963,9(2):277-293.
[4]Alexander G J,Baptista A M.Economic implications of using a mean-Va R model for portfolio selection:a comparison with mean-variance analysis[J].Journal of Economic Dynamics and Control,2002,26(7):1159-1193.
[5]Ross S A.The arbitrage theory of capital asset pricing[J].Journal of Economic Theory,1976,13(3):341-360.
[6]Konno H,Wijayanayake A.Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints[J].Mathematical Programming,2001,89(2):233-250.
[7]Evstigneev I V,Hens T,Schenk-HoppéK R.Mathematical financial economics[M].Springer International Publishing,2015.
[8]Fu T,Ng C,Wong K,et al.Models for portfolio management on enhancing periodic consideration and portfolio selection[C]//Natural Computation(ICNC),2011Seventh International Conference on.IEEE,2011,1:176-180.
[9]Wu H,Zeng Y,Yao H.Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability[J].Economic Modelling,2014,36:69-78.
[10]陈科燕.基于遗传算法的最优证券组合投资模型研究[D].南京气象学院,2004.
[11]唐俊,丁立刚.负债下摩擦市场不允许卖空时的最优投资组合[J].内蒙古大学学报:自然科学版,2007,38(5):485-489.
[12]Goldberg D E,Korb B,Deb K.Messy genetic algorithms:motivation,analysis,and first results[J].Complex Systems,2010,3(3):493-530.
[13]Laumanns M.SPEA2:Improving the strength pareto evolutionary algorithm[J].2001.
[14]Qingfu Zhang.A Multiobjective Evolutionary Algorithm Based on Decomposition,IEEE,2007,17(4):1089‐778X.
[15]刘腾娇.多目标投资组合均值方差模型的改进及应用研究[D].哈尔滨:哈尔滨工业大学,2016.
[16]Jobst N J,Horniman M D,Lucas C A,et al.Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints[J].Quantitative Finance,2001,1(5):489-501.