An Optimal Portfolio Selection Model with Transaction Costs under the Constraint of Higher Moments

讨论了有交易费用的、包括偏度和峰度在内的高阶矩约束的多目标最优投资组合选择模型.将该模型转化为单目标最优化问题,利用线性逼近的方法讨论了在有交易费用时规划问题的近似转化;给出了具体算例;分析了参数对最优目标的影响.A portfolio selection model with transaction costs under the constraint of higher moments such as skewness and kurtosis was discussed.The original model was transferred to a single objective optimization model.Using linear approaching method,this model was transferred approximately to a linear programming model.A numerical example was given.Finally,the relationship between the objective and the(parameters) was discussed.国家重点基础研究发展规划(973)项目(2007CB814903);; 国家自然科学基金资助项目(70671069

信息技术革命与银行业的变革

本文探讨了信息技术革命对银行业的传统业务和产业组织结构的影响。未来银行业的发展战略是利用金融工程技术为个人和企业提供风险管理服务 ,信息技术的发展使银行业出现分散化和集中化并存的趋势 ,而内部组织结构和决策系统的设计将成为影响大银行的运行效率和竞争能力的重要因素。在强化银行内部风险控制和风险管理的自我责任的同时 ,通过市场纪律加强银行治理将成为银行监管制度改革和设计的重要课题

Portfolio Selection Model Under Higher Moment Constraints and its Approximate Linear Programming Solution

本文讨论有包括偏度和峰度在内的高阶矩约束的最优投资组合模型。证明了最优投资组合决策的存在性并导出解析解的隐式表达式,然后利用线性逼近的方法得到近似解,并给出了具体算例,最后分析了模型中的权重参数对最优目标的影响。A portfolio selection model under higher moment constraints such as skewness and kurtosis is discussed. The existence of the optimal solution is proved and the implicit analytic the solution is derived. After transforming the original model approximately to a linear programming model, a numerical example is given and the relationship between the optimum and the parameters is discussed.国家重点基础研究发展计划973项目(2007CB814903);; 国家自然科学基金(70671069