Portfolio-optimization models for small investors
Portfolio-optimization models for small investors
复制标题
适合小投资者的投资组合优化模型
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
N. Trautmann
中科院分区：
文献类型：
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作者：
P. Baumann;N. Trautmann
自2010年以来，在线交易服务提供商的客户群大幅增长。这些公司使小投资者能够以优惠的价格进入股票市场。由于中小投资者买卖股票的数量适中，因此在选择投资组合时应考虑固定交易成本、整体交易单位和股息。在本文中，我们考虑小投资者以最大化预期投资组合回报并保证投资组合风险不超过规定风险水平的方式将资金投资于股票的问题。文献中已知的投资组合优化模型一般是为机构投资者设计的，没有考虑小投资者的具体约束。因此，我们扩展了四种著名的投资组合优化模型，使其适用于小投资者。我们考虑一种使用方差作为风险度量的非线性模型，以及使用投资组合收益的平均绝对偏差、最大损失和条件风险价值作为风险度量的三种线性模型。我们扩展所有模型以考虑分段恒定交易成本、积分交易单位和股息。在基于瑞士股市数据和在线交易服务提供商Swissquote的成本结构的样本外实验中，我们同时应用了基本模型和扩展模型；前者代表机构投资者的视角，后者代表中小投资者的视角。基本模型计算的投资组合的平均回报率略高于使用扩展模型计算的投资组合。然而，所有生成的投资组合的平均回报率均高于瑞士业绩指数。就平均已实现投资组合收益和已实现投资组合收益的标准差而言，四种风险度量之间存在相当大的差异。
Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.
影响因子：
2.7
作者：
J. D. Loera;R. Hemmecke;M. Köppe;R. Weismantel
通讯作者：
J. D. Loera;R. Hemmecke;M. Köppe;R. Weismantel