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实际中的投资往往是根据市场情况不断动态调整的多阶段过程,各阶段投资的效率是影响投资者决策的重要因素。但现有对动态投资组合评价的研究匮乏,即使已有的研究也没有体现各期投资之间的联系。从动态投资组合的有效前沿面出发,研究了不同导向下的动态投资组合的效率测度。通过各阶段投资间的财富过程,构建了不同导向、不同测度下的动态投资组合效率评价模型,并在开环策略下求解了动态投资组合效率评价模型。最后通过仿真,对不同导向下的动态投资组合效率评价模型进行了比较分析,说明本文模型的合理性。
In practice, the investment is often a multi-stage process that is dynamically adjusted according to market conditions. The efficiency of investment in each stage is an important factor that affects investors’ decision-making. However, the current research on dynamic portfolio evaluation is scarce, even though the existing research does not reflect the connection between the various periods of investment. Starting from the effective frontier of dynamic portfolio, this paper studies the efficiency measure of dynamic portfolio under different directions. Through the wealth process of all stages of investment, the dynamic investment portfolio efficiency evaluation model under different directions and different measures is constructed, and the dynamic investment portfolio efficiency evaluation model is solved under the open-loop strategy. Finally, through simulation, the dynamic investment portfolio efficiency evaluation model under different directions is compared and analyzed, which shows the rationality of this model.