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本文基于投资组合的安全第一准则,建立了带补偿的两阶段随机规划投资组合选择模型。由于市场中投资者更关注下行风险,故本文利用下半绝对偏差来度量投资风险,并引入股指期货对系统风险进行对冲,从而保证投资组合收益的稳定性。同时,文章利用数值算例对模型进行验证,通过对实际算例的结果分析,我们发现组合在下行市场中表现出良好的收益与较低的波动性。为了保证投资策略在上行市场中的投资收益,本文还对市场趋势进行预先判断,以此作为股指期货投资策略调整的依据。
Based on the first safety criteria of portfolio, this paper establishes a portfolio selection model of two-stage stochastic programming with compensation. Because investors pay more attention to the downside risk in the market, this paper measures the investment risk by using the lower half absolute deviation and introduces the stock index futures to hedge the systematic risk so as to ensure the stability of the portfolio income. At the same time, the article verifies the model with numerical examples. By analyzing the results of the actual examples, we find that the combination shows good returns and low volatility in the downstream market. In order to ensure the return on investment in the upstream market, this article also prejudges the market trend as the basis for the adjustment of the investment strategy of stock index futures.