具有最小交易量限制的多阶段均值-半方差投资组合优化

考虑交易成本,借款约束和阈值约束,文章提出了具有最小交易量限制的多阶段均值-半方差投资组合模型。该模型是具有路径依赖性的混合整数动态优化问题,还是NP完全问题。文章提出了前向动态规划方法求解。最后,通过一个算例比较不同风险约束下的最优投资策略,从而验证模型和算法的有效性。     

基于半离差风险收益的投资组合管理优化模型研究

本文在对投资组合管理理论分析的基础上,利用半离差法计算组合投资的风险与收益,克服了H. Markowitz提出的均值一方差模型研究的不足以及半方差模型的烦琐,提出了基于半离差风险收益的多目标优化模型;假设投资组合一般包括三种资产形式:股票、债券、现金。引进了机会成本概念在投资选择中的重要性,更加符合我国投资者的实际,便于操作,这为证券投资组合优化提供了一种新的方法,并有一定的参考借鉴价值。     

Portfolio rebalancing with an investment horizon and transaction costs

In this paper we consider the problem of rebalancing an existing financial portfolio, where transaction costs have to be paid if we change the amount held of any asset. These transaction costs can be fixed (so paid irrespective of the amount traded provided a trade occurs) and/or variable (related to the amount traded). We indicate the importance of the investment horizon when rebalancing such a portfolio and illustrate the nature of the efficient frontier that results when we have transaction costs. We model the problem as a mixed-integer quadratic programme with an explicit constraint on the amount that can be paid in transaction cost. Our model incorporates the interplay between optimal portfolio allocation, transaction costs and investment horizon. We indicate how to extend our model to include cardinality constraints and present a number of enhancements to the model to improve computational performance. Results are presented for the solution of publicly available test problems involving up to 1317 assets.     

现实约束下多阶段模糊投资组合的时间一致性策略研究

考虑交易成本约束、借款约束、阈值约束、收益需求约束和基数约束,本文提出多阶段均值—标准下半方差模糊投资组合模型并讨论了该模型的时间一致性最优投资策略。具体如下：首先,基于可能性理论,将模型转化为非线性动态优化问题;由于标准半方差是不可离散的,模型的最优解不具有时间一致性。其次,为获得时间一致的最优投资策略,本文采用博弈论,将该模型转化为时间一致性动态优化问题,并运用离散近似迭代方法求解。最后,通过具体算例比较不同风险偏好系数、不同基数约束和不同借款约束的最优投资策略,以验证模型和算法的有效性。     

含流动性约束及保证金购买的多空投资组合选择模型

本文在基于风险资产的价格服从梯形可能性分布的基础上,引入流动性约束、保证金限制、交易成本和存贷利差等因素,建立了多空投资组合模型。利用非线性规划理论和极大熵方法,给出了求解该模型的一种方法。最后,通过实例验证了主要结果并分析了流动性约束、保证金、交易费和存贷利差等因素对投资组合有效前沿的影响。     

A Liquidity-based Model of Security Design

We consider the problem of the design and sale of a security backed by specified assets. Given access to higher-return investments, the issuer has an incentive to raise capital by securitizing part of these assets. At the time the security is issued, the issuer's or underwriter's private information regarding the payoff of the security may cause illiquidity, in the form of a downward-sloping demand curve for the security. The severity of this illiquidity depends upon the sensitivity of the value of the issued security to the issuer's private information. Thus, the security-design problem involves a tradeoff between the retention cost of holding cash flows not included in the security design, and the liquidity cost of including the cash flows and making the security design more sensitive to the issuer's private information. We characterize the optimal security design in several cases. We also demonstrate circumstances under which standard debt is optimal and show that the riskiness of the debt is increasing in the issuer's retention costs for assets.     

基于随机久期缺口控制的全资产负债优化模型

资产负债管理是银行等金融机构在负债结构和总量一定的前提下,通过对资产进行优化配置,达到资产流动性、盈利性和安全性“三性”之间的平衡。本文基于CIR动态利率期限结构求解随机久期,对包括增量和存量在内的全部资产负债组合的久期缺口进行预留和约束,构建资产负债优化模型控制利率风险。本文的创新与特色有三:一是以控制CIR利率期限结构的随机久期缺口为约束条件建立非线性规划模型、对资产配置进行利率风险免疫,反映了利率随时间的动态变化,突破了Macaulay久期、FW久期等现有研究的利率随时间的变化是固定不变或平行移动的限定条件,使资产配置的利率风险免疫更加符合现实情况。二是建立了包括增量资产负债与存量资产负债的全资产负债优化配置模型,改变了现有资产负债模型大多只考虑增量资产负债、而忽略存量资产负债的弊端。三是以市场利率朝着最不利方向变动时、预留缺口损失后的资本充足率仍满足监管要求为约束条件,保证了在利率不利变动情况下损失仍在可控范围内,在利率有利变动时银行净值增加。     

具有熵约束的多阶段均值—半绝对偏差投资组合优化

考虑投资者面临金融市场随机不确定性,将证券收益率视为随机变量,文章运用半绝对偏差度量风险,采用投资组合的熵度量分散化程度,同时,考虑交易成本和借款限制,提出多阶段投资组合模型。由于投资过程存在交易成本,上述模型为路径依赖性的动态优化问题。文章运用离散近似迭代法求解,并证明了该算法是线性收敛的。最后,通过实证研究得出熵的取值越大,投资组合的最终财富越小。     

基于资金供应链价值视角的最优现金持有方案研究

内部资金的配置不当常常引发公司高层的控制权争夺而损害公司利益。在投资项目中如何设计包含预期投资收入和现金分红比例组合要素在内的最优现金持有方案以提升公司价值成为公司所有者和高管共同面临的问题。本文借鉴报童模型,以公司所有者为先行者,建立了两者之间的斯塔克伯格博弈模型,分析最优现金持有方案的设置及其对公司所有者和高管的影响。研究发现:风险中性的公司所有者总会接受高管内部参股投资,并设置行业现金分红比例以给予高管资金使用方便;最优现金持有方案下,高管总会倾向于选择内部参股而不选择外部投资;此时,公司所有者的收益和资金供应链的效率都会提高,而高管选择外部引资是否能提高收益则取决于已有的薪酬合同水平。研究结论既支持了内部资金市场的"收集有利信息"假说,同时也对公司所有者在控制权私利倾向较强的职业经理人市场中如何科学决策有着重要的借鉴意义。     

具有卖空总量限制的多阶段M—SAD投资组合优化

文章提出具有卖空总量限制、阈值约束和V型交易成本的多阶段均值—半绝对偏差（M-SAD）投资组合优化模型。该模型分别运用均值和半绝对偏衡量资产的收益率和风险。由于交易成本的存在,该模型不满足无后效性的动态优化问题。文章将该模型近似为一般动态规划问题,提出一种新的离散迭代方法,并证明该算法是线性收敛的。最后,文章通过实证研究比较分析卖空总量限制和风险偏好系数取不同值时对投资组合最优策略的影响,验证模型和算法的有效性。     

All the bottles in one basket? Evaluating the effect of intra-industry diversification on risk

This paper develops a framework using Monte Carlo simulation to examine risk/return properties of intra-industry product portfolio composition and diversification. We use product-level data covering all Swedish sales of alcoholic beverages to describe the risk profiles of wholesalers and how they are affected by actual and hypothetical changes to product portfolios. Using a large number of counterfactual portfolios we quantify the diversification benefits of different product portfolio compositions. In this market the most important reductions in variability come from focusing on domestic products and from focusing on product categories that have low variability. The number of products also has a large effect in the simulations, moving from a portfolio of 10 products to one of 20 products cuts standard deviation of cash flows in relation to mean cash flows by more than half. The concentration of import origins plays a minor quantitative role on risk/return profiles in this market.     

具有模糊收益的项目投资组合优化方法

基于可能性理论,研究了投资项目具有模糊收益的多项目投资组合的决策问题。在假设投资项目各年净现金流为三角模糊数的条件下,运用可能性均值和方差,建立了基于现值指数法的单投资项目模糊收益指标和模糊风险评价指标,同时,在此基础上建立了基于模糊可能性均值与方差的多项目投资组合优化模型,提出了最优项目投资组合的算法。最后,给出实际算例说明了方法的可行性和有效性。     

不允许卖空下证券投资组合的区间二次规划问题

本文基于经典的Markowitz均值-方差模型,针对市场上不允许卖空的情况,提出了证券投资组合的区间二次规划模型,通过应用区间数排序方法(区间序关系、区间可能度和区间可接受度),给出了两种证券投资组合的区间非线性优化的数学转化模型,从而将不确定性证券投资组合模型转化为确定性的证券投资组合二次规划模型进行求解,并对由本文给出的三种求解方法与传统方法进行了比较。     

基于通货膨胀和风险偏好视角的资产配置研究

不确定条件下的资产配置问题无论对于学术研究还是投资行为都具有重大的理论和实际意义。本文选取广义范围上的现金、股票、债券作为投资者进行资产配置的产品,在CRRA(Constant Relative Risk Aversion)和HARA(Hyperbolic Absolute Risk Aversion)两种偏好假设下,分别求出了投资者效用最大化时的最优财富以及最优资产组合中各资产的权重,并比较分析了两种偏好假设下通货膨胀、风险偏好、投资期限三种因素对资产配置的影响。研究结论表明:通货膨胀会影响股票和债券的风险溢价,进而影响最优资产组合中各资产的权重;股票的权重不会受投资期限的影响,在通货膨胀率和风险偏好不变时,其值始终为一常数,但债券和现金的权重则由投资期限、通货膨胀和风险偏好共同决定;此外,在CRRA和HARA偏好假设下,以上三种因素对资产配置的影响存在较大差异,特别是在HARA框架下存在买空行为。     

Liquidity planning in a small bank

Given a forecast of supply and demand for cash in each period of an infinite planning horizon, and with a known current portfolio, a policy is chosen to invest these cash supplies in securities of different maturities so that the demand in every future period can be satisfied by securities maturing in that period. The objective is to maximize the minimum of the excess over the planning horizon so that any illiquidity in one period is spread out over the entire planning horizon. Analytical solutions are obtained for single maturity and barbell investment policies. Feasibility and optimality conditions are determined for these policies.     

结构突变下的高维汇率资产时变投资组合预测研究

金融市场存在结构突变现象是发生金融风险传染的关键所在,而风险传染又是投资组合研究中亟需解决的难点。本文以9种国际主要货币对美元汇率为研究对象,先构建隐马尔科夫模型来对汇率资产进行结构突变预测,并基于结构突变刻画的结果,构建动态R-Vine Copula模型来预测汇率资产的风险传染关系;最后,基于结构突变与风险传染的研究结果,筛选出适合的组合汇率资产,构建时变投资组合预测模型。实证结果表明：HMM模型能够有效地刻画出汇率资产中的结构突变;动态R-Vine Copula模型能够更加有效地刻画出汇率资产间的风险传染关系;基于结构突变与风险传染关系下的动态投资组合预测模型,具有降低投资组合风险与提升投资组合预测收益的优越性,能够为金融风险管理和投资组合研究提供模型参考。     

OBTAINING AND PARAMETERIZING MULTIPERIOD PORTFOLIOS WITH DESIRABLE CHARACTERISTICS UNDER LOGNORMAL RETURNS

The expected geometric mean has been shown to be a valuable criterion in ranking portfolios of assets. For example, under certain conditions the maximum expected geometric-mean portfolio minimizes the expected time to amass a fixed level of wealth as wealth becomes “large.” This paper develops a simple algorithm for obtaining such portfolios when portfolio returns are assumed to be lognormally distributed. The risk-return characteristics of portfolios are derived and illustrated using data from a subset of stocks found on the New York Stock Exchange.     

满意绩效期权的设计、定价与应用

满意绩效期权是指当标的资产的价格超过某一固定价格及另一资产价格时,权利持有人有权按其中的较高价格买入标的资产.论文给出了满意绩效期权的解析解、数值解及其对管理人行为的影响,并分析了如何将满意绩效期权应用于投资基金和一般资产组合管理的报酬设计中.     

Product Positioning in a Two‐Dimensional Market Space

This paper examines the optimal product portfolio positioning for a monopolist firm in a market where consumers exhibit vertical differentiation for product performance and horizontal differentiation for product feature. Our key results are as follows: (i) Variable costs drive vertical differentiation. In the presence of significant volume‐dependent manufacturing costs, the optimal portfolio contains a mix of vertically and horizontally differentiated products and an increase in the variable cost makes adding vertically differentiated products relatively more profitable; if fixed volume‐independent design costs dominate, the portfolio exhibits solely horizontal differentiation. (ii) Horizontal differentiation is the main profit lever, and vertical differentiation brings only a marginal benefit; this is true even when most of the consumers exhibit low willingness to pay for performance, which is often used as an excuse to offer low‐end products. (iii) There are more low‐quality products than high‐quality ones, and market coverage increases when the willingness to pay for performance increases. In summary, the model shows how portfolio composition decisions depend on the product cost structure and the consumer preferences.