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风险资产收益序列相关的多阶段均值-方差投资组合选择

DOI: 10.13195/j.kzyjc.2013.0600, PP. 1226-1231

Keywords: 收益序列相关,多阶段均值-方差模型,Lagrange,对偶原理,动态规划

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Abstract:

基于多阶段均值-方差框架,研究任意多种风险资产存在一般收益序列相关时的投资组合选择问题.首先,采用Lagrange对偶原理与动态规划相结合的方法对模型进行求解,得到多阶段均值-方差模型的有效投资策略和有效边界的解析表达式;然后,证明在含有无风险资产的情形下有效边界仍为均值-标准差平面上的一条射线;最后,应用所得结论给出一个具体的实例分析.

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