运筹与管理2016，Vol.25Issue(6)：133-138,6.DOI:10.12005/orms.2016.0212
基于CVaR衍生的多期多面风险度量下的投资组合研究
Portfolio Selection Based on Polyhedral Multi-period Risk Measures Derived fro m Conditional Value-at-risk
摘要
Abstract
In order to solve the problems of multi-period portfolio,a multi-period investment portfolio optimal process is designed.The process can solve the problems by minimizing the risk with some benefits constraints, using a series of fast algorithm modules.It is achieved by combining the nonparametric sampling method,cluste-ring-based multistage scenario generation method,and multi-period polyhedral risk measures.The process is pro-posed based on some calculations,which is simple,reasonable and easy to implement.The empirical study on the financial markets data in China demonstrates good practicality of the whole process.关键词
多阶段投资组合/多面风险度量/聚类算法/Bootstrap/CVaRKey words
multistage portfolio selection/multi-period polyhedral risk measures/clustering algorithm/Boot-strap/CVaR分类
管理科学引用本文复制引用
肖宇谷,吴峰,李贞贞..基于CVaR衍生的多期多面风险度量下的投资组合研究[J].运筹与管理,2016,25(6):133-138,6.基金项目
中国人民大学科学研究基金（中央高校基本科研业务费专项资金资助）项目成果 （）
