H值意义下优良证券组合的筛选  

Selection of Top Quality Portfolio under H-Value Rule

作　　者：梁亦孔[1] 柴俊[2] 

机构地区：[1]上海工程技术大学基础学院,上海201600 [2]华东师范大学数学系,上海200062

出　　处：《华东师范大学学报（自然科学版）》2007年第5期92-97,共6页Journal of East China Normal University(Natural Science)

基　　金：上海高校选拔培养优秀青年教师科研专项基金(05XPYQ39)

摘　　要：研究如何从证券市场上的众多证券中筛选出"好"的若干种证券进行组合投资.首先,在允许卖空的情况下,第一次给出了评价证券组合优劣的H值准则,然后在H值意义下进行优良证券组合的筛选.其次,引入市场指数模型,得到市场指数模型下H值的简化定理,使筛选工作成为可能.This paper studied how to select several top quality stocks from thousands of stocks in the security market to get a better portfolio. Firstly,H-value rule which can evaluate quality of portfolio was given under the condition of permitting short-sailing for the first time. Then, how to select the better portfolio under H-value rule was studied. Secondly,A simplified theorem of H-value was introduced under the market index model. It showed the efficiency of the selection.

关 键 词：H值 证券组合 市场指数模型 均值方差模型 

分 类 号：F224.0[经济管理—国民经济]