基于一般失望模型的证券组合投资分析  

Portfolio Slection Based on Generalized Disappointment Models

作　　者：胡支军[1] 黄登仕[1] 

机构地区：[1]西南交通大学经济管理学院

出　　处：《管理工程学报》2006年第3期78-81,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家杰出青年科学基金资助项目(70229001);贵州省自然科学基金项目(20052002)

摘　　要：基于Jia&Dyer(2001)[7]的一般失望模型,给出了一种新的非对称风险度量方法,它利用“上偏矩(upper partial moment)”来修正下方风险,不仅只考虑收益低于期望收益率时所带来的损失,而且利用了超过期望收益率时可能带来可观利润的收益。进一步给出了基于该非对称风险度量的组合投资计算方法,并通过上海证券市场的实际数据验证了该方法的有效性和实用性。We presents a new asymmetric risk measurement based on generalized disappointment models that were proposed by Jia and Dyer （2001 ）. It applies upper partial moment to revise the downside risk, not only focuse on return dispersion below the expected mean return, but also use the return dispersion above the expected mean return that contains promising profits. Under the new risk measure, the computation recipes of the portfolio are provided, and an emprirical study using data from Shanghai stock market is given in order to describe its application.

关 键 词：一般失望模型 风险度量 组合投资优化 

分 类 号：F830.91[经济管理—金融学]