关键词: 组合证券投资, 风险测度, 破产控制约束, 不允许卖空

Abstract: 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.

Key words: portfolio selection, risk measure, bankruptcy constraint, no-shorting