对数鲁棒优化投资组合策略有效性研究——基于中国股票市场的实证分析

结合中国股票市场实际特征,基于资产价格服从对数正态分布假设及引入最坏情景（即风险价值）,同时考虑各资产之间的关联性,提出三种资产关系对数鲁棒优化投资组合模型：最坏情景下独立资产对数鲁棒优化投资组合（WCIALRO）模型、最坏情景下特殊关联资产对数鲁棒优化（WCCASCLRO）模型和最坏情景下一般关联资产对数鲁棒优化（WCCAGCLRO）模型。运用新的求解方法对三种模型及相应改进模型进行实证比较分析,结果表明：对数鲁棒优化投资组合策略是有效、可行的。

On Effectiveness of Logarithmic Robust Optimization Portfolio Strategy——An Empirical Study Based on Stock Market of China

Starting from the actual characteristics of stock market of China, assets price based on the assumption of log- arithmic normal distribution and introduction of the worst case （i.e. value at risk）, and at the same time, considering the correlation between assets, the paper puts forward three log-robust optimization portfolio models dealing with relationship between assets： worst-case independent assets log-robust optimization （WCIALRO） model, worst-ease correlated assets special case log-robust optimization （WCCASCLRO） model, and worst-case correlated assets general case log-robust opti- mization （WCCAGCLRO） model. With a new method of MATLAB, it makes an empirical and a comparative analysis of three models and the corresponding improved models. The results show that the log-robust optimization portfolio strategy is effective and feasible.