具有卖空总量限制的多阶段M—SAD投资组合优化

doi:10.16381/j.cnki.issn1003-207x.2017.1605

中国管理科学 ›› 2021, Vol. 29 ›› Issue (6): 60-69.doi: 10.16381/j.cnki.issn1003-207x.2017.1605cstr: 32146.14.j.cnki.issn1003-207x.2017.1605

具有卖空总量限制的多阶段M—SAD投资组合优化

张鹏¹, 曾永泉²

1. 华南师范大学经济与管理学院,广东广州 510006;
2. 仲恺农业工程学院人文与社会科学学院,广东广州 510225

收稿日期:2017-11-27 修回日期:2018-03-12 出版日期:2021-06-20 发布日期:2021-06-29
通讯作者: 张鹏(1975-),男(汉族),江西吉安人,华南师范大学经济与管理学院,教授,博士生导师,研究方向:投资组合优化、动态规划算法研究,E-mail:zhangpeng300478@aliyun.com. E-mail:zhangpeng300478@aliyun.com
基金资助:
国家自然科学基金资助项目（71271161）；广东省软科学项目（2019A101002066，2019A101002052）；广东省社科项目（GD19CGL32）

Multiperiod Mean Semi-absolute Deviation Portfolio Selection with Total Short Selling Constraints

ZHANG Peng¹, ZENG Yong-quan²

1. School of Economics and Management, South China Normal University, Guangzhou 510006, China;
2. College of Humanities and Social sciences, Zhongkai University of Agriculture and Engineering, Guangzhou 510225, China

Received:2017-11-27 Revised:2018-03-12 Online:2021-06-20 Published:2021-06-29

摘要/Abstract

摘要： 文章提出具有卖空总量限制、阈值约束和V型交易成本的多阶段均值—半绝对偏差（M-SAD）投资组合优化模型。该模型分别运用均值和半绝对偏衡量资产的收益率和风险。由于交易成本的存在，该模型不满足无后效性的动态优化问题。文章将该模型近似为一般动态规划问题，提出一种新的离散迭代方法，并证明该算法是线性收敛的。最后，文章通过实证研究比较分析卖空总量限制和风险偏好系数取不同值时对投资组合最优策略的影响，验证模型和算法的有效性。

关键词: 多阶段投资组合模型, 均值—半绝对偏差, 卖空总量限制, V型交易成本, 离散迭代方法

Abstract: In this paper, a new multiperiod mean semi-absolute deviation portfolio selection model with total short sellingconstraints, threshold constraints, transaction costs and borrowing constraints is proposed. The return and the risk are quantified by the mean value of return and by the semi-absolute deviation of return, respectively. Because of the transaction costs, the proposed model is a dynamic optimization problem with path dependence. The proposed model is approximated to a dynamic programming model. A novel discrete iteration method is designed to obtain the optimal portfolio strategy, and is proved linearly convergent.Finally, the comparison analysis of the different total short selling constraints and different preference coefficients in the portfolio is provided by numerical examples to illustrate the efficiency of the proposed method and the designed algorithm using real data from the Shanghai Stock Exchange.

Key words: multiperiod portfolio selection, mean semi-absolute deviation, total short selling constraints, V-shape transaction costs, the discrete iteration method

中图分类号:

F830

张鹏,曾永泉. 具有卖空总量限制的多阶段M—SAD投资组合优化[J]. 中国管理科学, 2021, 29(6): 60-69.

ZHANG Peng,ZENG Yong-quan. Multiperiod Mean Semi-absolute Deviation Portfolio Selection with Total Short Selling Constraints[J]. Chinese Journal of Management Science, 2021, 29(6): 60-69.

参考文献

[1] Markowitz H M. Portfolio selection[J]. Journal of Finance, 1952,7:77-91.
[2] Konno H, Yamazaki H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market[J]. Management Science,1991,37(5):519-531.
[3] Markowitz H M. Portfolio selection:Efficient diversification of investments[M]. New York:Wiley, 1959.
[4] Speranza M G. Linear programming models for portfolio optimization[J]. The Journal of Finance, 1993,14:107-123.
[5] 张鹏,张忠桢,岳超源. 限制性卖空的均值-半绝对偏差投资组合模型及其旋转算法研究[J].中国管理科学,2006,14(1):7-11. Zhang Peng, Zhang Zhongzhen. Optimization of the mean semi-absolute deviation portfolio selection model with the restricted short sell ing based on the pivoting algorithm[J]. Chinese Journal of Management Science, 2006, 14(1):7-11.
[6] Zhang Miao, Chen Ping. Mean-variance portfolio selection with regime switching under shorting prohibition[J]. Operations Research Letters, 2016,44:658-662.
[7] Kim J H, Kim W C, Fabozzi F J. Portfolio selection with conservative short-selling[J]. Finance Research Letters, 2016,18:363-369.
[8] Jacobs B I, Levy K N. Long/short equity investing[J]. Journal of Portfolio Management, 1993, 20(1):52-63.
[9] Grinold R C, Kahn R N. The efficiency gains of long-short investing[J]. Financial Analysts Journal, 2000,56(6):40-53.
[10] Raymond W S, Yiuman T. A note on international portfolio diversification with short selling[J]. Review of Quantitative Finance and Accounting, 2001,16:311-321.
[11] Konno H, Akishino K, Yamamoto R. Optimization of a long-short portfolio under nonconvex transaction cost[J]. Computational Optimization and Applications,2005, 1(32):115-132.
[12] Brennan T J, LoA W. Impossible frontiers[J]. Management Science, 2010,56(6):905-923.
[13] Thi H A L, Moeini M. Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm[J]. Journal of Optimization Theory and Application,2014, 161(1):199-224.
[14] Kim J H, Kim W C, Fabozzi F J. Portfolio selection with conservative short-selling[J]. Finance Research Letters, 2016,18:363-369.
[15] Li D, Ng W L. Optimal dynamic portfolio selection:Multiperiod mean-variance formulation[J]. Mathematical Finance, 2000,(10):387-406.
[16] 张鹏,张卫国,张逸菲.具有最小交易量限制的均值-半方差多阶段投资组合优化[J].中国管理科学,2016,24(7):11-17. Zhang Peng, Zhang Weiguo, Zhang Yifei. Multi-period mean-semivariance portfolio selection with minimum transaction lots constraints[J]. Chinese Journal of Management Science, 2016, 24(7):11-17.
[17] Chen H H, Yang C B. Multiperiod portfolio investment using stochastic programming with conditional value at risk[J]. Computers and Operations Research, 2017,81:305-321.
[18] Zhang Qingye, Gao Yan. Portfolio selection based on a benchmark process with dynamic value-at-risk constraints[J]. Journal of Computational and Applied Mathematics, 2017,313:440-447.
[19] Bannister H, Goldys B, Penev S, Wu Wei. Multiperiod mean-standard-deviation time consistent portfolio selection[J]. Automatica, 2016,73:15-26.
[20] K ksalan M, Şakar C T. An interactive approach to stochastic programming-based portfolio optimization[J]. Annals of Operations Research, 2016,245(2):47-66.
[21] Heidergott B, Olsder G J, Woude J V. Max plus at work-modeling and analysis of synchronized systems:A course on max-plus algebra and its applications[J].Princeton University Press,2006.

具有卖空总量限制的多阶段M—SAD投资组合优化

Multiperiod Mean Semi-absolute Deviation Portfolio Selection with Total Short Selling Constraints

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

Metrics

本文评价

推荐阅读 0

[1]	罗鹏飞, 姚彦铭, 谭英贤. 突发公共卫生事件下企业委托代理问题与最优资本结构[J]. 中国管理科学, 2025, 33(10): 47-56.
[2]	叶彦艺, 杨晓光. 股票市场知情交易如何影响信用债利差[J]. 中国管理科学, 2025, 33(9): 1-10.
[3]	甘柳, 蔡颖俐, 徐明玉, 谭英贤. 二级债券市场信息获取与可转债融资[J]. 中国管理科学, 2025, 33(9): 22-32.
[4]	姚银红, 王晓旭, 陈炜, 陈振松. 基于Transformer-LSTM分位数回归的全球股市极端风险溢出研究[J]. 中国管理科学, 2025, 33(8): 1-13.
[5]	吴伟平, 林雨, 金成能, 唐振鹏. 随机市场深度下基于风险管理和交易约束的最优执行问题[J]. 中国管理科学, 2025, 33(8): 14-25.
[6]	颜镜洲, 李仲飞, 毛杰, 李星毅. 模糊波动下的策略交易和市场质量[J]. 中国管理科学, 2025, 33(8): 26-36.
[7]	张维, 陈卓, 冯绪, 熊熊, 张永杰. 金融系统工程在中国：2010－2024[J]. 中国管理科学, 2025, 33(7): 11-23.
[8]	田军, 董赞强, 李雅丽. 基于预付账款融资模式的供应链融资策略研究[J]. 中国管理科学, 2025, 33(7): 272-283.
[9]	罗鹏飞, 刘新乐, 陆婷, 张勇. 碳减排下的企业并购决策[J]. 中国管理科学, 2025, 33(7): 337-345.
[10]	杨科, 刘鑫, 田凤平. 中国与其他主要新兴市场国家间股市极端风险的跨市场传染[J]. 中国管理科学, 2025, 33(7): 44-53.
[11]	文璐, 冯玲. 动态政府干预下银行风险传染与最优救助决策研究[J]. 中国管理科学, 2025, 33(6): 37-48.
[12]	欧阳资生, 周学伟. 中国金融机构系统性风险回测与关联研究[J]. 中国管理科学, 2025, 33(6): 14-26.
[13]	赵志明, 潘琼. 债权激励对公司再融资的影响研究[J]. 中国管理科学, 2025, 33(6): 27-36.
[14]	谭春萍, 秦学志, 尚勤, 王文华, 林先伟. 企业财务困境的激励相容式组合纾解策略[J]. 中国管理科学, 2025, 33(5): 13-25.
[15]	于辉, 王霜. 供应链金融：企业如何实现“鱼与熊掌”兼得？[J]. 中国管理科学, 2025, 33(5): 280-289.