具有灵活时间期限的混合投资组合优化模型

doi:10.16381/j.cnki.issn1003-207x.2021.0160

Abstract

Abstract:

Under the background of economic globalization and financial integration， investors' asset allocation needs become more and more diversified. How to construct reasonable diversified portfolio strategy has become one of the hot issues in financial theory research. To this end， a mixed portfolio selection problem composed of project， stock and risk-free assets is considered. Assuming that the investment period of the portfolio is determined flexibly by the execution period of the selected project， the investors consider the real factors such as the dependence and exclusion relationship between the projects， the transaction cost and the bankruptcy risk control. A mixed portfolio optimization model with the objective of maximizing the net present value of terminal wealth is proposed. Then， an improved multi-strategy fusion artificial bee colony algorithm is designed to solve the proposed model. Finally， a numerical example is provided to illustrate the application of our model and demonstrate the effectiveness of the solution algorithm. The computational results show that the mixed portfolio investment strategy with flexible time horizon is more effective than the existing project portfolio investment strategy with flexible time horizon.

Key words: mixed portfolio, flexible time horizon, artificial bee colony algorithm, practical factors

CLC Number:

F830

Yongjun Liu,Jiandong Wu,Weiguo Zhang. Mixed Portfolio Optimization Model Within Flexible Time Horizon[J]. Chinese Journal of Management Science, 2024, 32(1): 23-30.

Figures/Tables 5

$j$	3	4	5	6	7	8	9	10
$α j$	183	169	152	0	-177	-210	-249	-277

$i$	$ω i$	$c j i h$					$d j i h$	$i$	$ω i$	$c j i h$					$d j i h$
$i$	$ω i$	h=j	h=j+1	h=j+2	h=j+3	h=j+4	h=j+ωⁱ	$i$	$ω i$	h=j	h=j+1	h=j+2	h=j+3	h=j+4	h=j+ωⁱ
1	3	685.66	310.38	616.82	0	0	1543.08	11	5	754.32	459.62	345.23	450.35	356.99	3483.48
2	5	674.4	549.25	412.4	399.03	680.27	2854.27	12	5	714.34	323.45	613.14	573.79	709.64	3342.26
3	2	384.56	344.17	0	0	0	794.03	13	2	399.47	728.43	0	0	0	1111.82
4	5	642.68	776.7	301.97	556.1	706.31	3565.36	14	2	475.83	677.32	0	0	0	1284.17
5	3	606.26	660.88	445.94	0	0	1891.48	15	3	447.98	741.97	462.76	0	0	1521.14
6	2	758.89	657.29	0	0	0	1342.91	16	5	382.51	496.26	346.73	710.55	375.58	3139.04
7	5	571.27	371.09	486.67	637.07	520.92	2643.36	17	4	492.06	772.13	793.81	528.15	0	2457.53
8	2	517.01	608.88	0	0	0	1103.23	18	2	713.06	425.69	0	0	0	1171.53
9	3	556.57	625.2	600.52	0	0	1825.78	19	4	598.69	751.42	567.28	595.1	0	3069.58
10	2	702.61	560.82	0	0	0	1282.31	20	5	319.64	478.59	339.81	452.73	465.36	2279.02

模型

项目启动时刻

j

T *

Δ W e

W T *

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目6

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目19

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目20

(P)

-913

10235.03

FTPP

-636

7854.57

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第k期资产s	k = 1	k = 2	k = 3	k = 4	k = 5	k = 6	k = 7	k = 8	k = 9
s = 1	0.2831	0.2569	0.3501	0.2999	0.0000	0.0000	0.2438	0.2826	0.2725
s = 2	0.3318	0.2082	0.0000	0.0000	0.0000	0.3501	0.3491	0.3167	0.3292
s = 3	0.0000	0.0000	0.3501	0.3501	0.3501	0.0000	0.0000	0.0000	0.0000
s = 4	0.0782	0.2216	0.2999	0.0000	0.3501	0.3501	0.3499	0.3493	0.2964
s = 5	0.0000	0.0000	0.0000	0.3501	0.2999	0.2999	0.0573	0.0514	0.1019
s = 6	0.3069	0.3133	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

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Mixed Portfolio Optimization Model Within Flexible Time Horizon

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