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中文摘要：
实际中的投资往往是根据市场情况不断动态调整的多阶段过程,各阶段投资的效率是影响投资者决策的重要因素。但现有对动态投资组合评价的研究匮乏,即使已有的研究也没有体现各期投资之间的联系。从动态投资组合的有效前沿面出发,研究了不同导向下的动态投资组合的效率测度。通过各阶段投资间的财富过程,构建了不同导向、不同测度下的动态投资组合效率评价模型,并在开环策略下求解了动态投资组合效率评价模型。最后通过仿真,对不同导向下的动态投资组合效率评价模型进行了比较分析,说明本文模型的合理性。
英文摘要：
The actual investment is often a multi-period process with dynamic adjustment based on market conditions.The efficiency of each period is an important factor affecting investor decision-making.However,the existing conclusions lack dynamic portfolio evaluation,even though some consider the performance of multi-period,the models do not reflect the link between each period.In this paper,from different orientations,we define the efficiency of multi-period portfolio based on the frontier.By considering the relationship between different periods and risk diversifications,we develop the optimization and evaluation models for multi-period portfolios,and we obtain open-loop portfolio efficiency under meanvariance framework.The simulation resulus show that the proposed models are rational and effective in assessing the performance of multi-period portfolios.
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