英文标题：
《Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm》
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作者：
Mostafa Zandieh, Seyed Omid Mohaddesi
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最新提交年份：
2018
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英文摘要：
In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance (CPPI) as rebalancing strategy. Numerical results showed that uncertain parameters and different belief degrees will produce different efficient frontiers, and affect the performance of the proposed model. Moreover, CPPI strategy performs as an insurance mechanism and limits downside risk in bear markets while it allows potential benefit in bull markets. Finally, using a globally optimization solver and genetic algorithm (GA) for solving the model, we concluded that the problem size is an important factor in solving portfolio rebalancing problem with uncertain parameters and to gain better results, it is recommended to use a meta-heuristic algorithm rather than a global solver.
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中文摘要：
在本文中，我们解决了当证券收益由考虑交易成本的不确定变量表示时的投资组合再平衡问题。采用固定比例投资组合保险（CPPI）作为再平衡策略，研究了该模型的性能。数值结果表明，不确定参数和不同的置信度会产生不同的有效前沿，并影响模型的性能。此外，CPPI策略作为一种保险机制，在熊市中限制下行风险，同时在牛市中允许潜在收益。最后，使用全局优化求解器和遗传算法（GA）对模型进行求解，我们得出结论，问题规模是解决具有不确定参数的投资组合再平衡问题的一个重要因素，为了获得更好的结果，建议使用元启发式算法而不是全局求解器。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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