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针对现有动态组合证券投资决策方法的不足 ,引入递推规划的思想和方法建立了动态组合证券投资决策的非线性递推规划模型 .该模型将股票价格预测的状态空间模型、投资机会集确定方法、均值方差模型、资产负债管理的网络模型和证券组合总体风险的自适应控制方法有机地结合起来 ,给出了一种新的具有可操作性的动态组合证券投资决策方法 ,并通过中国股票市场中 35种股票构成的数据样本验证了所建模型的有效性和适用性 .
Aiming at the insufficiency of the existing decision-making methods of dynamic portfolio investment, the idea and method of recursive planning are introduced to establish the nonlinear recursive programming model of dynamic portfolio investment decision-making.The model determines the state space model and investment opportunity set of stock price forecasting Method, mean variance model, the network model of assets and liabilities management and the adaptive risk control method of portfolio portfolio are combined organically. A new maneuverable dynamic portfolio investment decision-making method is given, and through the Chinese stock The sample data of 35 stocks in the market verify the validity and applicability of the model.