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摘要翻译：
在金融行业中，投资组合构建是指如何在资产类别菜单上分配投资者的财富，以实现投资者收益最大化。目前使用的主要方法是基于对经典Markowitz模型的变异。然而，最近世界市场的发展表明了这种方法的局限性，并促使许多研究者和实践者研究投资组合构建的替代方法。本文基于最近关于随机可达性的研究结果，提出了一种最优投资组合构造方法，克服了现有方法的一些局限性。在给定一系列投资者希望其投资组合保持的目标集的情况下，综合最优投资组合配置，以使投资组合价值满足目标集要求的联合概率最大。在美国市场的一个案例研究表明，所提出的方法在投资组合构建方面是有益的。与传统方法进行了比较。
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英文标题：
《A stochastic reachability approach to portfolio construction in finance
industry》
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作者：
Giordano Pola and Gianni Pola
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最新提交年份：
2009
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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：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
In finance industry portfolio construction deals with how to divide the investors' wealth across an asset-classes' menu in order to maximize the investors' gain. Main approaches in use at the present are based on variations of the classical Markowitz model. However, recent evolutions of the world market showed limitations of this method and motivated many researchers and practitioners to study alternative methodologies to portfolio construction. In this paper we propose one approach to optimal portfolio construction based on recent results on stochastic reachability, which overcome some of the limits of current approaches. Given a sequence of target sets that the investors would like their portfolio to stay within, the optimal portfolio allocation is synthesized in order to maximize the joint probability for the portfolio value to fulfill the target sets requirements. A case study in the US market is given which shows benefits from the proposed methodology in portfolio construction. A comparison with traditional approaches is included.
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PDF链接：
https://arxiv.org/pdf/0907.3301
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