摘要
资产配置包括资产在空间和时间上的配置。现代投资组合理论为资产在空间上的配置提供了比较完备的模型和应用框架,但是资产在时间上的配置问题,学者们的研究甚少。资产在时间上的配置的核心问题是在不同时间对不同资产做出合理的买进、持有和卖出决策,即交易策略设计。本文应用动态规划的原理,分别讨论了存在和不存在最大交易次数限制的情况下,基于总收益率最大的交易策略的求解算法,并利用香港股票市场的数据进行实例分析。本文提出的算法是关于交易的时间跨度和资产数量的多项式算法,计算量和存储空间不因二者的增大而过度增大,在解决大规模问题时也是非常有效的。
Asset allocation means dividing investors＇ investments among different assets both in space and time. Although modern portfolio theory has developed to a highly sophisticated level and provided us with valuable theatrical models and application frameworks in steering assets in space, little is known about asset allocation in time. The core question of asset allocation in time is how to optimally select buying and selling time for different assets at different time, that is, optimal trading strategy design. Based on dynamic programming principles, this paper proposes an efficient algorithm for return-optimal trading strategy both for the ease of trading with and without the constraint of maximum trading times, and implements the algorithm by using the data from Hong Kong stock market. The computation algorithm proposed in this paper is a linear time algorithm with respect to the number of trading periods and number of assets, and can be used in large-scale problem efficiently.
出处
《中国管理科学》
CSSCI
2008年第3期102-108,共7页
Chinese Journal of Management Science
基金
中南财经政法大学振兴基金(90407006105)
关键词
交易策略
交易费用
收益率
动态规划
最优解
trading strategy
transaction cost
rate of return
dynamic programming
optimal solution
