摘要
本文讨论有包括偏度和峰度在内的高阶矩约束的最优投资组合模型。证明了最优投资组合决策的存在性并导出解析解的隐式表达式,然后利用线性逼近的方法得到近似解,并给出了具体算例,最后分析了模型中的权重参数对最优目标的影响。
A portfolio selection model under higher moment constraints such as skewness and kurtosis is discussed. The existence of the optimal solution is proved and the implicit analytic the solution is derived. After transforming the original model approximately to a linear programming model, a numerical example is given and the relationship between the optimum and the parameters is discussed.
出处
《工程数学学报》
CSCD
北大核心
2008年第6期1005-1012,共8页
Chinese Journal of Engineering Mathematics
基金
国家重点基础研究发展计划973项目(2007CB814903)
国家自然科学基金(70671069)
关键词
偏度
峰度
高阶矩
最优投资组合
线性规划
skewness
kurtosis
higher moments
portfolio selection
linear programming
