CAJ | 학술논문

文章综合考虑投资组合的期望收益率和风险(方差),提出了基于效用最大化的投资组合模型,并用线性不等式组的旋转算法进行求解.计算结果表明,在允许卖空的情况下,风险偏好系数能够在整个变化范围内较好地反映投资者的期望收益率,而在不允许卖空情况下,风险偏好系数只能在某个区间起作用.因此,投资者应结合自己的风险偏好和投资组合的期望收益率作出决策.文章运用自编程序能够很快地计算出各种不同的风险偏好系数所对应的有效投资组合,以帮助投资者得到最优投资策略.所运用的线性不等式组的一种旋转算法避免了通常处理二次规划问题所需的松弛变量、剩余变量和人工变量,操作简便、计算效率高.
문장종합고필투자조합적기망수익솔화풍험(방차),제출료기우효용최대화적투자조합모형,병용선성불등식조적선전산법진행구해.계산결과표명,재윤허매공적정황하,풍험편호계수능구재정개변화범위내교호지반영투자자적기망수익솔,이재불윤허매공정황하,풍험편호계수지능재모개구간기작용.인차,투자자응결합자기적풍험편호화투자조합적기망수익솔작출결책.문장운용자편정서능구흔쾌지계산출각충불동적풍험편호계수소대응적유효투자조합,이방조투자자득도최우투자책략.소운용적선성불등식조적일충선전산법피면료통상처리이차규화문제소수적송이변량、잉여변량화인공변량,조작간편、계산효솔고.
In this paper, considering the expected rate of the return of the portfolio and risk （variance）, we propose a portfolio selection model maximizing the utility and solve it by the pivoting algorithm. The paper shows that risk preference coefficient with short sales can show the investor＇s preference within the whole region, but the coefficient without the short sales can just work within some regions. The investors should invest according to both their own preference and the expected rate of the return of the portfolio. We use program written by ourselves to calculate the effective portfolios with different risk preference coefficients, which could help investors to pinpoint the optimal portfolio. The algorithm solves the quadric programming problem without adding slack, remaining and artificial variables while its efficiency is very high and it operates very easily.