基于CVaR投资组合优化问题的光滑化方法

doi:10.12005/orms.2017.0096

运筹与管理 ›› 2017, Vol. 26 ›› Issue (4): 158-164.DOI: 10.12005/orms.2017.0096

基于CVaR投资组合优化问题的光滑化方法

张清叶, 高岩

上海理工大学管理学院,上海 200093

收稿日期:2015-06-27 出版日期:2017-04-25
作者简介:张清叶(1978-),女,河南新乡人,上海理工大学管理学院博士研究生,研究方向:投资组合优化,非光滑优化;高岩(1962-),男,黑龙江五常人,教授,博导,研究方向:投资组合优化,非光滑优化,混杂系统控制,应急系统管理。
基金资助:
国家自然科学基金项目(11171221);上海市一流学科项目(XTKX2012);上海市研究生创新基金项目(JWXCXSL1401)

A Smoothing Method for Portfolio Optimization Based on CVaR

ZHANG Qing-ye, GAO Yan

School of Management, University of Shanghai for Science and Technology, Shanghai 200093, China

Received:2015-06-27 Online:2017-04-25

摘要/Abstract

摘要： 对选定的风险资产进行组合投资,以条件风险价值(CVaR)作为度量风险的工具,建立单期投资组合优化问题的CVaR模型。目标函数中含有多重积分与plus函数,产生情景矩阵将多重积分计算转化成求和运算,提出plus函数的一个新的一致光滑逼近函数并给出求解CVaR模型的光滑化方法,最后的实证研究表明了本文算法的优越性。

关键词: 投资组合优化, 条件风险价值, 光滑化方法

Abstract: Portfolio investment on the given risky assets is considered in this paper. At first, we develop a CVaR model for the single phase portfolio optimization problem, using CVaR as the risk measure. Noticing that both multi-integral and plus function are contained in the objective function, we convert multi-integral calculation into summation operator by producing a scenario matrix. Then, we propose a new consistent smooth approximating function of the plus function and give a smoothing method for solving CVaR model at the same time. Finally, we give two empirical studies which illustrate the superiority of our algorithm.

Key words: portfolio optimization, conditional value-at-risk(CVaR), smoothing method

中图分类号:

F830
O221

张清叶, 高岩. 基于CVaR投资组合优化问题的光滑化方法[J]. 运筹与管理, 2017, 26(4): 158-164.

ZHANG Qing-ye, GAO Yan. A Smoothing Method for Portfolio Optimization Based on CVaR[J]. Operations Research and Management Science, 2017, 26(4): 158-164.

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基于CVaR投资组合优化问题的光滑化方法

A Smoothing Method for Portfolio Optimization Based on CVaR

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