Model On Portfolio Adjust

In the paper, we provide a model on multi-period portfolio adjust according torealistic securities business. The investor can make use of the model to decide whattime to adjust his investment proportion under his affordable risk in order tomaximum his anticipative return.First, we introduce Harry Markowitz portfolio model. It is the sill of modernportfolio theory, and solve the question that how to rational select security fromall kinds of securities for the investor of holding some funds----That is theinvestor allot rational his holding funds on different securities so that he canobtain the expect return as much as he can, while the risk is the smallest. on theone hand, the theory regard security return as stochastic variables,and the riskis measured by the variance of return. when return and variance are evaluated, theresult come to that not only calculation is complex but also the parameter of M-Vmodel is not enough to reflect the latest case of security return, so M-V model isworse on time effect;on the other hand, M-V model do not consider the transactioncost in portfolio policy (including individual gains taxes), all these is notconsistent with realistic securities business! On the course of realistic investment,the investor must pay some transaction cost whether buying security or sellingsecurity, it is obvious that paying transaction cost will influence the last returnof investor;and if the transaction cost is neglected, securities business will bedisorder, and the result that come from the model is invalidation. So it is necessarythat add the transaction cost in the model.Second, we introduce CAPM of Willam ? Sharp. CAPM is based on M-V model. Thetheory think: the risk may be measured by the β-value. β-value is a relativemeasurement. It account in CAPM that total risk is composed of two sections:systematic risk and non-systematic risk. the uncertain of security return come intobeing Systematic risk, the uncertain is derived from change of the whole societyeconomic system, all company are subject to influence from systematic risk, onlythe degree of each company influence is different;the non-systematic risk come fromthe inner of company, it is related to the company itself, it also make the securityreturn uncertain, the risk is no reflection or less reflection to other company.System risk is not eliminated, and high risk will bring high return;as far asnon-systematic risk, the bigger it is, the bigger the expectation return is not.So the investor must manage to eliminate the non-systematic risk, one of ways isthe polybasic of investment. That is the investor should invest portfolio not onesecurity. Thus the risk is measured by β-value, compared with variance in M-V model,it is more simple and convenient.Ground on above these reason, in the paper, we try to build a model on portfolioof multi-object programming with transaction cost, be based on the model M-V andCAPM, considering to the multi-change and periodicity of realistic securitiesbusiness and regarding the security return as time sequence. We considermulti-period so that it can be apply in the realistic securities business. It isdivided into several respect: (1) first investment(first week);(2) (secondweek)whether adjust portfolio policy: (a)no change risk securities kinds and no addfunds;(2) no change risk securities kinds and add funds;(3) change risk securitieskinds and no add funds;(4) change risk securities kinds and add funds etc.At last, we introduce object programming, including its characteristic.principle and ways of optimization in order to solute the model convenience. in thepaper, we apply restriction way, goal sort and goal programming so that we cantransform multi-object programming to single-object programming, and the result ofapplying the way of restriction to the series of models is better. namely,restriction way is to use diversification selection constraints to counteract thenon-systematic risk, with the affordable risk level parameter of investor,transformed multi-object programming to one-object programming, calculate andanalyses the result. in other words, the investor may select his appropriateβ0valueaccording to his risk affordable, after applying the model, he can obtain theproportion of each securities in portfolio, and expectation return, and decidewhether buying securities or adjusting his holding securities proportion. All inall, the model provide a guidance for security investor.