Sensitivity Analysis for Mean-Variance Portfolio Problems
展示如何用参数二次规划对均值-方差投资组合进行敏感性分析，帮助投资者考察均值或约束右端项变化对最优组合构成、均值及方差的影响。
This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio problems using a general form of parametric quadratic programming. The analysis allows an investor to examine how parametric changes in either the means or the right-hand side of the constraints affect the composition, mean, and variance of the optimal portfolio. The optimal portfolio and associated multipliers are piecewise linear functions of the changes in either the means or the right-hand side of the constraints. The parametric parts of the solution show the rates of substitution of securities in the optimal portfolio, while the parametric parts of the multipliers show the rates at which constraints are either tightening or loosening. Furthermore, the parametric parts of the solution and multipliers change in different intervals when constraints become active or inactive. The optimal MV paths for sensitivity analyses are piecewise parabolic, as in traditional MV analysis. However, the optimal paths may contain negatively sloping segments and are characterized by types of kinks, i.e., points of nondifferentiability, not found in MV analysis.