多阶段投资组合评价是目前研究的热点问题,本文将交易成本考虑进去,构建了考虑交易成本的多阶段投资组合优化模型,基于真实前沿面定义了投资组合的效率并构建了相应的非线性模型进行计算。针对非线性模型难以求解及真实前沿面解析解难以获得等问题,本文证明了前沿面函数为凹函数,进而利用DEA模型的前沿面来逼近真实前沿面并估计多阶段投资组合的效率,最后通过仿真分析验证了本文方法的有效性。
Multi-period portfolio evaluation is a hot topic in financial studies. By taking transaction costs into consideration, a multi-period portfolio optimization model is proposed. Based on the real frontier, the definition of multi-period portfolio efficiency and the corresponding nonlinear model are constructed. Due to the lack of analytical solutions of frontier and difficulties in solving the nonlinear model, it is proved that the true portfolio frontier is concave, and then DEA model is used to approximate the frontier and estimate the efficiencies of multi-period portfolios with transaction costs. The validity of the proposed method is illustrated by simulation in the end.
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