The Solving Algorithm for Harlow's Optimal LPM' Portfolio Model Based on MATLAB and Empirical Research on Precious Metals Investment in China

摘要

Measuring the risk of asset is the core problem of conforming optimal portfolio and assets management. Compared with the Markowitz portfolio optimization theory, downside risk will reflect the mental features of investors much better and have higher efficiency of resource allocation. So, downside risk is widely used in investment and assets management. Harlow's optimal LPM' portfolio model is a typical assets management model based on downside risk which has sound theoretical basis and mathematical version, but it's hard to solve the optimal portfolio especially facing large number of different capitals and assets. Given this reason, this paper programs a general purpose program for solving the Harlow's model based on MATLAB M-files; and then collects a certain amount of data about precious metals investment in China to do empirical research. The results of the empirical research show the correctness and high efficiency of the MATLAB algorithm, and the MATLAB algorithm improve the practicability and usability of Harlow's optimal LPM' portfolio model.