开放式投资基金稳健投资模式的实证研究  

An Empirical Analysis of the Conservative Investment Mode of Open-Ended Fund

作　　者：徐丽梅[1] 吴光伟[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《山西财经大学学报》2007年第3期105-109,共5页Journal of Shanxi University of Finance and Economics

摘　　要：在马柯维茨均值—方差模型的基础上,引入了流动性因素和稳健因子,综合考虑了收益、风险和流动性等因素对投资组合的影响,探索了稳健型投资模式的构建方式,并利用股市数据进行了实证分析。As an investment mode,conservative investment style had been only limited to some theoretical aspects all through.On the basis of Markowitz＇s ＂mean-variance＂ model,this paper adds the factor of ＂liquidity＂,explores the construction of conservative investment model,and does the empirical study finally.The study establishes a two-dimensional and three-dimensional available boundary of portfolio,and reaches a conclusion that the three-dimensional portfolio model possesses some advantages in the investment prac.

关 键 词：稳健因子 二次规划 变异系数 

分 类 号：F832.48[经济管理—金融学]