基于最速曲线的投资组合调整方法

doi:10.12005/orms.2020.0185

运筹与管理 ›› 2020, Vol. 29 ›› Issue (7): 165-171.DOI: 10.12005/orms.2020.0185

基于最速曲线的投资组合调整方法

李宗欣^1,2, 陈志平¹, 王美花³

1.西安交通大学数学与统计学院,陕西西安 710049;
2.西北大学经济管理学院,陕西西安 710127;
3.西安电子科技大学经济与管理学院,陕西西安 710071

收稿日期:2017-10-24 出版日期:2020-07-25
作者简介:李宗欣(1989-),女,河南新乡人,讲师,博士,研究方向:金融工程与风险管理;陈志平(1964-),男,陕西西安人,教授,博士,研究方向:运筹学方法及其应用、数理金融;王美花(1983-),女,山西文水人,讲师,博士,研究方向:金融工程。
基金资助:
国家自然科学基金资助项目(11571270,71501155)

Portfolio Rebalancing Method Based on Brachistochrone Curve

LI Zong-xin¹, CHEN Zhi-ping¹, WANG Mei-hua²

1. School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an 710049, China;
2. School of Economics & Management, Northwest University, Xi'an 710127, China;
3. School of Economics and Management, Xidian University, Xi'an 710071, China

Received:2017-10-24 Online:2020-07-25

摘要/Abstract

摘要： 均值方差模型自1952年被提出以来在单期投资组合优化理论与实践中一直扮演着十分重要的角色。然而因为资金具有时间价值,所以投资者总是希望能够尽快实现他们的投资目标。鉴于此,本文利用数学中著名的最速曲线提出了一种新的投资组合调整方法并探讨其求解步骤。该方法在建模过程中考虑了投资活动中普遍存在的时间效应和处置效应两种现象。德国股票市场和中国股票市场中的实证结果不仅证实了投资组合调整的必要性,而且说明了新方法的实用性和有效性。

关键词: 时间价值, 投资组合调整, 最速曲线, 时间效应, 处置效应

Abstract: The mean-variance model has played a crucial role in single-period portfolio optimization theory and practice since it is proposed by Markowitz in 1952. Nevertheless, due to the time value of capital, investors would like to achieve their scheduled targets as soon as possible. To this end, we propose a new method for portfolio rebalancing based on the famous brachistochrone curve in mathematics and further discuss the solution steps of it. This approach allows us to model the well-known horizon effect and disposition effect phenomena in finance. The empirical results in the German Stock Exchange Market and Chinese Stock Market not only confirm the necessity of portfolio rebalancing, but also show the effectiveness of the new method.

Key words: time value, portfolio rebalancing, brachistochrone curve, horizon effect, disposition effect

中图分类号:

F830.9
F224

李宗欣, 陈志平, 王美花. 基于最速曲线的投资组合调整方法[J]. 运筹与管理, 2020, 29(7): 165-171.

LI Zong-xin, CHEN Zhi-ping, WANG Mei-hua. Portfolio Rebalancing Method Based on Brachistochrone Curve[J]. Operations Research and Management Science, 2020, 29(7): 165-171.

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基于最速曲线的投资组合调整方法

Portfolio Rebalancing Method Based on Brachistochrone Curve

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