| 结束时间不确定的投资组合选择问题建模与模型求解方法 |
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| 引用本文： | 霍艳丽,徐春晖,黄敏,王大志. 结束时间不确定的投资组合选择问题建模与模型求解方法[J]. 控制与决策, 2020, 35(7): 1751-1757 |
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| 作者姓名： | 霍艳丽 徐春晖 黄敏 王大志 |
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| 作者单位： | 中国计量大学经济与管理学院,杭州310018;千叶工业大学社会系统科学学院,千叶2750016;东北大学信息科学与工程学院,沈阳110004 |
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| 基金项目： | 浙江省钱江人才计划项目(QJC1502008)；浙江省自然科学基金青年项目(LQ18G010004). |
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| 摘 要： | 针对结束时间具有不确定性的投资问题,建立以区间风险值(PVaR)度量市场风险的收益最大化投资组合选择模型.PVaR计算的复杂性使得模型难以运用一般优化方法求解,因此提出并证明可以通过求解等效的混合整数规划模型来得到原模型的最优解.利用实际股价数据进行数值实验分析,结果表明,求解混合整数规划模型针对小规模短期投资问题可以快速给出最优投资决策方案.
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| 关 键 词： | 投资组合优化 终止时间不确定 投资风险管理 区间风险值 蒙特卡罗仿真 |
Modeling of portfolio selection problems with uncertain exit time and its solving method |
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| HUO Yan-li,XU Chun-hui,HUANG Min,WANG Da-zhi. Modeling of portfolio selection problems with uncertain exit time and its solving method[J]. Control and Decision, 2020, 35(7): 1751-1757 |
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| Authors: | HUO Yan-li XU Chun-hui HUANG Min WANG Da-zhi |
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| Affiliation: | College of Economics and Management, China Jiliang University, Hangzhou 310018,China;Faculty of Social Systems Science,Chiba Institute of Technology,Chiba2750016, Japan;College of Information Science and Engineering,Northeastern University,Shenyang110004,China |
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| Abstract: | For the investment decision problem with uncertain exit time, this paper establishes a return maximization portfolio selection model that measures market risk with the period value at risk(PVaR). Due to the computational complexity of the PVaR, it is difficult to solve the model with conventional optimization methods. This paper proposes and proves that the optimal solution of the original model can be found by solving an equivalent mixed integer programming model. The numerical experiment analysis is carried out by using the actual stock price data. The results show that solving the mixed integer programming model can quickly find the optimal investment decision for small and mid-scale short-term investment problems. |
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