基于半离差风险收益的投资组合管理优化模型研究  

Study of Investment Portfolio Management Optimization Model Based on Semi-Deviation Risk-Return

作　　者：宋光辉[1] 许林[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《中国管理科学》2008年第S1期320-324,共5页Chinese Journal of Management Science

摘　　要：本文在对投资组合管理理论分析的基础上,利用半离差法计算组合投资的风险与收益,克服了H. Markowitz提出的均值一方差模型研究的不足以及半方差模型的烦琐,提出了基于半离差风险收益的多目标优化模型;假设投资组合一般包括三种资产形式:股票、债券、现金。引进了机会成本概念在投资选择中的重要性,更加符合我国投资者的实际,便于操作,这为证券投资组合优化提供了一种新的方法,并有一定的参考借鉴价值。On the basis of the investment portfolio management theoretical analysis,this paper adopts the semi-deviation method to calculate the risk-return of portfolio investment,overcoming the deficiency of mean-variance model by H.Markowitz and semi-variance model.It puts forward the multi-objective programming model based on semideviation risk-return,the supposed investment portfolio assets include three forms:stocks,bonds and cash.To introducle the concept of opportunity cost in the investment options is more suited to the actual investors in China,which is easy to operate,and provides a new approach and has the reference value to a certain extent.

关 键 词：投资组合 半离差 多目标规划 投资机会成本 

分 类 号：F224[经济管理—国民经济] F830.59