破产控制约束下组合投资:两阶段MiniMax模型

以绝对偏差函数作为风险测度,考虑不允许卖空约束条件下基于MiniMax的多期证券组合选择问题。为了避免在投资周期内破产事件的发生,增加了风险控制约束。利用动态规划和拉格朗日乘子法,给出了两阶段MiniMax投资组合模型最优解析策略。本文所提出策略可以为需要同时资产管理和破产控制的投资者提供决策依据。

Portfolio Optimization with Bankruptcy Control:A Two Period MiniMax Model

Using absolute deviation function as the risk measure,this paper considers the portfolio selection problem based on the minimax criterion when shorting is not allowed.To avoid occurrence of bankruptcy in the whole investment horizon,a risk control constraint is imposed on the proposed model at the same time.By applying dynamic programming and Lagrange multiplier approach,the explicit expression of the optimal portfolio strategy is presented.The proposed strategy can provide decisions basis for investors who need to manage the assets and control bankruptcy.