鲁棒投资组合选择优化问题的研究进展

摘要/Abstract

摘要： 对近年来投资组合研究优化研究的热点问题------鲁棒投资组合优化研究的现状和发展趋势作了综述性研究. 在投资组合选择优化的均值-方差模型的基础上，回顾了鲁棒投资组合选择优化问题的发展历史；详细地介绍了鲁棒投资组合选择优化的研究热点及国内外研究现状，就鲁棒投资组合选择优化问题的未来发展方向和主要研究内容，提出了新的观点，以期为相关领域的研究工作提供参考依据.

关键词: 鲁棒优化, 投资组合选择, 均值-方差模型, 研究热点, 发展趋势

Abstract: This paper reviews the recent progresses and trends of the researches on the robust portfolio optimization. Based on the mean-variance model of portfolio optimization, the history of robust portfolio optimization is looked back. Meanwhile, the research focus of robust portfolio optimization and the present research status at home and abroad are introduced in details. Moreover, some new viewpoints are proposed for future development directions and for some main research contents in the field of robust portfolio optimization so as to provide reference for the related research works in the future.

Key words: robust optimization, portfolio selection, mean-variance model, research focus, development trends

中图分类号:

O221

梁锡坤, 徐成贤, 郑冬. 鲁棒投资组合选择优化问题的研究进展[J]. 运筹学学报, 2014, 18(2): 87-95.

LIANG Xikun, XU Chengxian, ZHENG Dong. The research progress of robust portfolio optimization[J]. Operations Research Transactions, 2014, 18(2): 87-95.

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