论文标题
内部多端口重新平衡过程：将资源分配模型和双层矩阵技术链接到投资组合管理
Internal multi-portfolio rebalancing processes: Linking resource allocation models and biproportional matrix techniques to portfolio management
论文作者
论文摘要
本文介绍了金融行业中使用的多功能“内部”重新平衡过程。这些内部流程没有与市场交易以“外部”重新平衡，而是详细介绍了投资组合经理如何在其投资组合之间购买和销售以重新平衡。我们概述了当前使用的内部重新平衡过程，包括一个称为“银行家”过程，另一个称为“线性”过程。我们证明了银行家流程缺点在波动市场中提名的银行投资组合，而线性过程可能会优势或缺点投资组合。 我们描述了使用“市场危险”概念的替代过程。我们为小型情况提供了分析解决方案，而总的来说，$ n $ portfolio解决方案及其相应的“市场不变”算法求解了非线性多项式方程的系统。事实证明，该算法是对双层矩阵的RAS算法的重新发现（也称为“迭代比例拟合程序”）。我们表明，这个过程比银行家和线性过程更公平，并以经验结果证明了这一点。 由于这些结果的重要性，行业已经实施了市场不变的过程。
This paper describes multi-portfolio `internal' rebalancing processes used in the finance industry. Instead of trading with the market to `externally' rebalance, these internal processes detail how portfolio managers buy and sell between their portfolios to rebalance. We give an overview of currently used internal rebalancing processes, including one known as the `banker' process and another known as the `linear' process. We prove the banker process disadvantages the nominated banker portfolio in volatile markets, while the linear process may advantage or disadvantage portfolios. We describe an alternative process that uses the concept of `market-invariance'. We give analytic solutions for small cases, while in general show that the $n$-portfolio solution and its corresponding `market-invariant' algorithm solve a system of nonlinear polynomial equations. It turns out this algorithm is a rediscovery of the RAS algorithm (also called the `iterative proportional fitting procedure') for biproportional matrices. We show that this process is more equitable than the banker and linear processes, and demonstrate this with empirical results. The market-invariant process has already been implemented by industry due to the significance of these results.
