基于不同风险度量的投资组合模型实证分析  

The Empirically Analysis of Portfolio Optimization Models Based on Different Measure of Risk

作　　者：肖贤春[1] 胡支军[1] 

机构地区：[1]贵州大学数学系,贵州贵阳550025

出　　处：《贵州大学学报（自然科学版）》2006年第3期249-253,共5页Journal of Guizhou University:Natural Sciences

基　　金：贵州省自然科学基金资助项目(黔科教合J(2005)2002号)

摘　　要：利用上海证券市场的实际交易数据对半绝对离差模型,基于分位数的绝对离差模型(Ruszczynski&Vanderbei,2003)以及MV模型进行了实证比较.通过分析各模型的全局最小风险组合,计算发现,半绝对离差模型比其他模型具有更好的样本外业绩.This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market. We compares the global minimum risk portfolios of the different models：semi-absolute deviation model,weighted absolute deviation from the quantile model（ Ruszczynski ＆ Vanderbei,2003）and mean-variance model. The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than the mean-variance model.

关 键 词：投资组合模型 风险度量 随机占优 

分 类 号：F830.9[经济管理—金融学]