CAJ | 학술논문

传统资产配置模型讨论的是一个时间段内的资金规划问题,因此存在一个总资金约束,即所有投资机会的投入资金总和不超过初始资金.如果在规划模型中考虑加入投资机会的起止时间因素,约束条件将变得更为复杂.文章给出了该类规划问题约束方程的通用形式,指出其求解方法,探讨了实际操作中的决策流程,最后给出了一个算例并与其他方法进行了比较,结果显示该方法在不同目标函数下均能有效达到规划目标.
전통자산배치모형토론적시일개시간단내적자금규화문제,인차존재일개총자금약속,즉소유투자궤회적투입자금총화불초과초시자금.여과재규화모형중고필가입투자궤회적기지시간인소,약속조건장변득경위복잡.문장급출료해류규화문제약속방정적통용형식,지출기구해방법,탐토료실제조작중적결책류정,최후급출료일개산례병여기타방법진행료비교,결과현시해방법재불동목표함수하균능유효체도규화목표.
Generally speaking,traditional models of asset allocation discuss capital allocation in a certain period of time, thus there is the total capital constrains which is the total capital invested in opportunities must be less than or equal to the ini?tial capital.If time factor including starting and ending time of an investment opportunity is added to the programming model, the constraint will become more complicated.In this paper,a general capital constraint is proposed,and its solution is also pre?sented. Then the whole process of programming is put forward by analyzing cases in the actual investment. At last,an example is given to compare with other methods,which shows the programming can achieve its goal under different objective functions and has better performance.