摘要
用下半方差作为风险度量构建了债券投资组合模型,研究投资者的债券投资问题。在理论上分析了模型最优解的存在性,并且证明了模型具有全局最优解。为了得到最优债券投资组合策略,依据模型的随机属性,构造了求解模型的蒙特卡罗罚函数算法,并且证明了算法的收敛性。给出了相应的数值算例验证模型的有效性。
In this paper,a semi-variance as a risk measure is used to set up a bond portfolio model in order to research a problem of the bank investment in bond.We analyze the existence of the optimal solution to the model,and prove that the solution is a global solution to the model.Moreover,a Monte Carlo penalty function algorithm is constructed to get the optimal portfolio policies via the random attribute of the model,and prove the convergence of the algorithm.The corresponding numerical examples are given to illustrate the validity of the model.
出处
《系统工程》
CSSCI
CSCD
北大核心
2012年第4期32-38,共7页
Systems Engineering
基金
国家自然科学基金资助项目(71001015
71101033
71172136)
关键词
下半方差
债券投资
蒙特卡罗模拟
随机优化
Semi-variance
Bond Portfolio
Monte Carlo Simulation
Stochastic Optimization
