CAJ | 학술논문

构造了一个均值-最小最大化组合投资多目标规划模型.与胡达沙和吴炜提出的多目标均值-方差模型比较,该模型有几方面改进.除了模型假设和数学表述的一些修正,该模型使用历史最小收益替换方差,这使得该模型不仅继承了多个目标的可行权衡的好的特性,而且在衡量向下风险方面的表现优于多目标均方模型.通过理论分析和数值试验说明了这一点.当组合投资收益分布适度有偏时,该模型的优势会更为突出.
구조료일개균치-최소최대화조합투자다목표규화모형.여호체사화오위제출적다목표균치-방차모형비교,해모형유궤방면개진.제료모형가설화수학표술적일사수정,해모형사용역사최소수익체환방차,저사득해모형불부계승료다개목표적가행권형적호적특성,이차재형량향하풍험방면적표현우우다목표균방모형.통과이론분석화수치시험설명료저일점.당조합투자수익분포괄도유편시,해모형적우세회경위돌출.
A mean-minimum maximized multi-objective programming model is proposed for solving portfolio selection problems.Minimum return is used in this model to measure the downside risk of a portfolio,and multi-objective model provides more flexible trade-off among profit, risk and cost (or even more factors).Both theoretical analysis and numerical experiments are committed.These results indicate that,when the distributions of portfolio returns are moderately skewed,this model outperforms the normal mean-variance efficient model obviously.