分散化投资组合的优化模型和方法研究

doi:10.15960/j.cnki.issn.1007-6093.2026.01.005

摘要/Abstract

摘要： 投资组合问题是当前金融领域中的热门课题之一。自1952 年, 经济学家Markowitz 在一系列基本假设下, 运用数学思想建立了均值方差模型之后, 开启了现代投资组合理论的时代。构造投资组合的核心是实现有效的分散化, 从而降低风险并带来可观的收益。本文从均值方差模型讲起, 对分散化的投资组合进行了回顾和评述, 重点总结了正则化下的投资组合优化模型和求解方法, 最后简要介绍了我们近期的部分工作并结合当前的研究热点提出了展望和设想。

关键词: 投资组合优化, 估计误差, 分散化投资, 风险函数

Abstract: Portfolio selection is an important topic in the financial field. Under a series of basic assumptions, economist Markowitz established the mean-variance model in 1952. Then, the study of modern portfolio theory began. Effective diversification is the key to reduce risks and increase returns. This paper starts from mean-variance model and reviews the diversified portfolio strategies. We focus on the portfolio optimization model and solution method under regularization. Finally, we briefly introduce some of our recent work and put forward prospects and ideas based on current research hotspots.

Key words: portfolio optimization, estimation error, diversification, risk function

中图分类号:

O221.2

赵弘欣, 孔令臣. 分散化投资组合的优化模型和方法研究[J]. 运筹学学报（中英文）, 2026, 30(1): 75-92.

ZHAO Hongxin, KONG Lingchen. Research on diversification portfolio optimization model and method[J]. Operations Research Transactions, 2026, 30(1): 75-92.

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