全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

考虑交易成本的多阶段投资组合评价方法研究

, PP. 1-6

Keywords: 多阶段投资组合,交易成本,绩效评价,数据包络分析

Full-Text   Cite this paper   Add to My Lib

Abstract:

?多阶段投资组合评价是目前研究的热点问题,本文将交易成本考虑进去,构建了考虑交易成本的多阶段投资组合优化模型,基于真实前沿面定义了投资组合的效率并构建了相应的非线性模型进行计算。针对非线性模型难以求解及真实前沿面解析解难以获得等问题,本文证明了前沿面函数为凹函数,进而利用DEA模型的前沿面来逼近真实前沿面并估计多阶段投资组合的效率,最后通过仿真分析验证了本文方法的有效性。

References

[1]  宿洁,刘家壮.多阶段资产投资的动态规划决策模型[J].中国管理科学, 2001, 9(3): 55-61.
[2]  郑振龙,柯鸿,莫天瑜.利率仿射模型下的利率风险价格形式实证研究[J].管理科学学报,2010,13(9):4-15.
[3]  Sun Jun, Fang Wei, Wu Xiaojun, et al.Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization[J]. Expert Systems with Applications, 2011, 38(6): 6727-6735.
[4]  Duffee G. Term premia and interest rate forecasts in affine models[J]. Journal of Finance, 2002, 57(1): 405-443.
[5]  Liu Yongjun, Zhang Weiguo, Zhang Pu. A multi-period portfolio selection optimization model by using interval analysis[J]. Economic Modelling, 2013, 33: 113-119.
[6]  Ang A,Piazzesi M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables[J]. Journal of Monetary Economics, 2003, 50(4): 745-787.
[7]  KaminJ H. Optimal portfolio revision with a proportional transaction cost[J]. Management Science. 1975, 21(11), 1263-1271.
[8]  Yi Lan. Multi-period portfolio selection with transaction costs[C].Proceedings of 2nd IEEE International Conference on Information and Financial Engineering,Chongqing,China,September 17-19,2010.
[9]  Christensen J H, Diebold F X, Rndebusch G D. The affine arbitrage-free class of nelson siegel term structure models[J].Journal of Econometrics,2011,164(1):4-20.
[10]  Zhang Weiguo, Liu Yongjun, Xu Weijun. A possibilistic mean-semi variance-entropy model for multi-period portfolio selection with transaction costs[J]. European Journal of Operational Research, 2012, 222(2): 341-349.
[11]  Chernov M, Mueller P. The term structure of inflation expectations[J]. Journal of Financial Economics,2012,106(2):367-394.
[12]  Wang Zhen, Liu Sanyang. Multi-period mean-variance portfolio selection with fixed and proportional transaction costs[J]. Journal of industrial and management optimization, 2013, 9(3): 643-657.
[13]  Jardet C, Monfort A, Pegoraro F. No-arbitrage near-cointegrated VAR(p) term structure models, term premiums and GDP growth[J]. Journal of Banking and Finance,2013,37(2):389-402.
[14]  Charnes A, Cooper W W, Rhodes E. Measuring the efficiency of decision making units[J]. European journal of operational research, 1978, 2(6): 429-444.
[15]  Duffie D, Kan R. A yield-factor model of interest rates[J]. Mathematical Finance, 1996, 6(4): 379-406.
[16]  Banker R D, Charnes A, Cooper W W. Some models for estimating technical and scale inefficiencies in data envelopment analysis[J]. Management Science, 1984, 30(9): 1078-1092.
[17]  Cochrane J, Piazzesi M. Bond risk premia[J]. American Economic Review, 2005, 95(1): 138-160.
[18]  Calafiore G C. Multi-period portfolio optimization with linear control policies[J]. Automatica, 2008, 44(10): 2463-2473.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133