均值-方差组合模型的鲁棒投资优化

针对投资组合优化模型中收益率的期望值、协方差矩阵等参数扰动时对原问题最优解产生较大影响的问题,文中提出将鲁棒优化应用到均值-方差投资组合模型中,建立了"势"不确定集下的鲁棒投资组合选择模型,通过市场数据对该模型进行了实证研究.试验结果表明该模型得到的解兼具鲁棒性与最优性.

Robust Portfolio Optimization of the Mean-Variance Model

In the portfolio optimization , the disturbance of return expectations and the covariance matrix has a great influence on the optimal solution to the original problem .To weaken this influence , the robust portfolio selection model based on the “cardinality” uncertainty set was established by applying the robust optimization to the mean variance portfolio model .And then an empirical study of the model was made by using real market data .The numerical results show that the solution obtained by the model is both robust and optimal .