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基于均值-方差投资组合选择模型,分析了市场上不存在无风险资产条件下的一类双层规划的投资组合选择问题.针对投资组合问题中参数估计不确定情形,引入了区间来描述期望收益率.通过将该问题转化为标准的极大极小问题,并借助Lagrange乘子法,得到了模型的最优投资策略和有效前沿的解析表达式.利用上海证券市场交易数据,结合数值算例分析验证了该模型在投资实践中的可行性和有效性.
Based on the mean-variance portfolio selection model, we analyze the portfolio selection problem for a class of bi-level programming under the condition that there is no risk-free asset in the market.For the uncertainty of the parameter estimation in the portfolio problem, we introduce the interval to describe the expected return Rate.This problem is transformed into the problem of standard minimum and maximum, and the Lagrange multiplier method is adopted to get the optimal investment strategy and effective frontier analytic expression of the model.Using the data of Shanghai Stock Market and numerical examples The feasibility and effectiveness of the model in investment practice are verified.