证券投资组合优化模型研究  

On Optimal Model of Portfolio Investment

作　　者：许永龙[1] 赵亮[2] 

机构地区：[1]天津大学管理学院,天津300072 [2]天津师范大学管理学院,天津300387

出　　处：《天津商业大学学报》2008年第2期3-6,共4页Journal of Tianjin University of Commerce

基　　金：国家自然科学基金资助项目(70072039);天津市自然科学基金资助项目(013605411)

摘　　要：本文在对收益与风险分析的基础上,利用半方差计量风险,克服了以往研究的不足,提出了基于半方差的收益与风险优化模型;模型的求解采用确定性等价回报的方法,更加符合投资者的实际,这为证券投资优化提供了一种新的方法,并有一定的应用价值。Based on the analysis of the relationship between returns and risks of portfolio investment, the paper applies the method of semi-variance to the evaluation of risks and makes an optimal model of returns and risks ,which overcomes the shortcomings of the studies we have known about. The paper applies the method of certain equivalent rate of returns to the solution to the model, which accords with the investors＇ true thoughts. This method gives a new line to achieve the optimization of portfolio investment and is of some practical value.

关 键 词：半方差 多目标规划 确定性等价回报率 

分 类 号：F224[经济管理—国民经济]