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首页> 外文期刊>The journal of computational finance >Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method

机译：使用两阶段最小二乘蒙特卡洛方法进行多周期投资组合优化的偏斜目标范围策略

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摘要

In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a conservative lower target representing a need for capital protection and a desired upper target representing an investment goal. This strategy favorably shapes the entire probability distribution of returns, as it simultaneously seeks a desired expected return, cuts off downside risk and implicitly caps volatility and higher moments. To illustrate the effectiveness of this investment strategy, we study a multiperiod portfolio optimization problem with transaction costs and develop a two-stage regression approach that improves the classical least squares Monte Carlo (LSMC) algorithm when dealing with difficult payoffs, such as highly concave, abruptly changing or discontinuous functions. Our numerical results show substantial improvements over the classical LSMC algorithm for both the constant relative risk-aversion (CRRA) utility approach and the proposed skewed target range strategy (STRS). Our numerical results illustrate the ability of the STRS to contain the portfolio value within the targeted range. When compared with the CRRA utility approach, the STRS achieves a similar mean-variance efficient frontier while delivering a better downside risk-return trade-off.
机译：在本文中，我们针对组合优化问题提出了一种新颖的投资策略。所提出的策略使目标范围内的预期投资组合价值最大化，该预期投资组合值由代表对资本保护的保守性较低目标和代表投资目标的期望较高目标组成。这种策略有利地塑造了回报的整个概率分布，因为它同时寻求期望的预期回报，减少了下行风险并隐含地限制了波动性和更高的动量。为了说明这种投资策略的有效性，我们研究了一个多阶段投资组合交易优化问题，其中包含交易成本，并开发了一种两阶段回归方法，该方法改进了经典的最小二乘蒙特卡罗（LSMC）算法，以应对高收益，突然改变或不连续的功能。我们的数值结果表明，相对于经典LSMC算法，恒定相对风险规避（CRRA）实用方法和拟议的偏斜目标范围策略（STRS）均得到了重大改进。我们的数值结果说明了STRS将投资组合价值包含在目标范围内的能力。与CRRA公用事业方法相比，STRS达到了类似的均方差有效边界，同时提供了更好的下行风险收益权衡。

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