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Liquidity risk integration in portfolio choice： The bid efficient frontier

Journal of Modern Accounting and Auditing 2010年第7期6卷 1-10,18页

作者： Pierre Clauss Ensai and Crest LSM Campus de Ker Lann rue Blaise Pascal 35172 Bruz Cedex France

In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.

关键词： portfolio selection market liquidity risk mean-variance optimization bid prices

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A Multi-Objective Genetic Algorithm for Optimal portfolio Problems

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Transactions of Tianjin University 2004年第4期10卷 310-314页

作者：林丹赵瑞 School of Sciences Tianjin University Tianjin 300072 China

This paper concerns with modeling and design of an algorithm for the portfolio selection problems with fixed transaction costs and minimum transaction lots. A mean-variance model for the portfolio selection problem is proposed, and the model is formulated as a non-smooth and nonlinear integer programming problem with multiple objective functions. As it has been proven that finding a feasible solution to the problem only is already NP-hard, based on NSGA-II and genetic algorithm for numerical optimization of constrained problems (Genocop), a multi-objective genetic algorithm (MOGA) is designed to solve the model. Its features comprise integer encoding and corresponding operators, and special treatment of constraints conditions. It is illustrated via a numerical example that the genetic algorithm can efficiently solve portfolio selection models proposed in this paper. This approach offers promise for the portfolio problems in practice.

关键词： portfolio selection transaction costs minimum transaction lots genetic algorithm

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A portfolio Model with Quadratic Subsection Concave Transaction Costs Based on PSO

A Portfolio Model with Quadratic Subsection Concave Transact...

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2009中国控制与决策会议

作者： Fasheng Xu~1,Wei Chen~2 1.School of Science,Jinan University.Jinan,250022,P.R.China 2.School of Information,Capital University of Economics and Business,Beijing,100070,China

＜正＞In this paper,the optimal portfolio selection problem with transaction costs is *** the previous study, the transaction cost is generally assumed as a V-shaped function of difference between the existing and the new portfolio. But,in this study,a portfolio selection model with quadratic subsection concave transaction costs is *** to proposed model is a complex quadratic programming problem which can’t be solved by exact algorithms efficiently,an improved particle swarm optimization（IPSO） is designed to solve ***,a numerical example is given to illustrate our proposed effective approach and the performances of IPSO and standard genetic algorithm（SGA） are compared. Experiment results show that IPSO is clearly superior compared to a SGA.

关键词： portfolio selection Transaction Costs Improved Particle Swarm Optimization

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PSO-based Possibilistc Mean-Variance Model with Transaction Costs

PSO-based Possibilistc Mean-Variance Model with Transaction ...

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2009中国控制与决策会议

作者： Wei Chen~1,Ling Yang~2,Fasheng Xu~3 1.School of Information,Capital University of Economics and Business,Beijing,100070,China 2.Publishing Hourse,Capital University of Economics and Business,Beijing,100070,China 3.School of Science,Jinan University,Jinan,250022,P.R.China

In this paper,based on possibilistic mean and variance of fuzzy numbers a portfolio selection rebalancing problem is *** the importance of transaction costs for rebalancing the portfolio,a possibilistic portfolio model with transaction cost is proposed,in which transaction cost is assumed as a no-convex-no-concave function instead of V-Shaped *** to proposed problem is a non-smooth programming problem,an improved particle swarm optimization is *** last,a numerical example is given to illustrate our proposed effective approach.

关键词： Possibility Theory portfolio selection Transaction Costs Improved Particle Swarm Optimization

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中国非金融企业的金融投资行为影响机制研究

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投资与证券 2019年第3期

作者：张成思郑宁

本文构建了中国非金融企业的金融投资行为影响机制理论模型，基于微观企业面对实业投资和金融投资两大类资产的投资组合选择背景，拓展已有研究关于企业投资组合模型中金融投资无风险的假设，同时考虑金融投资风险和固定投资风险，推演... 详细信息

本文构建了中国非金融企业的金融投资行为影响机制理论模型，基于微观企业面对实业投资和金融投资两大类资产的投资组合选择背景，拓展已有研究关于企业投资组合模型中金融投资无风险的假设，同时考虑金融投资风险和固定投资风险，推演出与现实情况更加贴近的理论模型。本文证明拓展模型与传统模型的机制存在本质区别。基于中国A股非金融上市公司面板数据的计量分析表明：中国非金融企业金融投资行为的显著驱动因素是固定资产投资的风险占比，而不是金融资产与固定资产的投资收益率缺口。

关键词：金融投资固定资产投资投资组合风险与收益 financial investment fixed investment portfolio selection risk and return

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