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提出了离散近似迭代方法,并用该方法求解具有交易成本和交易量限制的多阶段均值-方差(M-V)投资组合模型.离散近似迭代方法的基本思路为:首先,将连续型状态变量离散化,根据网络图的构造方法将上述模型转化多阶段赋权有向图;其次,运用嘉量原理求出起点至终点的最长路程,即获得模型的一个可行解;最后,以该可行解为基础,继续迭代直到前后两个可行解非常接近.还证明了该方法的收敛性和复杂性.
A discrete approximation iteration method is proposed and used to solve the multi-stage mean-variance (MV) portfolio model with transaction costs and trading volume constraints.The basic idea of the discrete approximation iteration method is as follows: First, discretize the continuous state variables, According to the construction method of the network diagram, the above model is transformed into a multi-stage weighted directed graph. Secondly, the maximum distance from the starting point to the end point is obtained by using the Karmel principle to obtain a feasible solution of the model. Finally, based on the feasible solution , Continue to iteration until the two feasible solutions are very close before and after, and the convergence and complexity of the method are also proved.