一个证券投资风险计量的优化模型  

An Optimization Model of Securities Investment Risk Measurement

作　　者：邵国华[1] 高海明[1] 

机构地区：[1]江西财经大学经济学院,江西南昌330013

出　　处：《金融理论与实践》2011年第5期78-82,共5页Financial Theory and Practice

基　　金：国家社会科学基金一般项目"我国资本市场结构的功能绩效评价及优化研究"(项目批准号10BJY107)的资助

摘　　要：2008年美国爆发的"次贷"危机,不仅给美国经济带来了极大的破坏,也给全球经济带来了极大的不稳定。由此,国内外许多学者更加关注可能引发"金融海啸"的因素分析。在经济金融化的当今时代,证券投资风险的计量无疑是理论和实务工作者关注的焦点。本文对比了Markowitz的均值方差模型(Mean-Variance Model)、Sharpe资本资产定价模型(CAPM)、Harlow下偏矩风险计量优化模型等,充分考虑收益和风险的计量指标,根据双目标规划求解过程得到一个证券投资风险计量的优化模型。2008 U.S. outbreak of the ＂subprime mortgage＂ crisis, not only to the U.S. economy has brought great damage, but also to the global economy a great deal of instability. As a result, many schol ars pay more attention at home and abroad may lead to ＂financial tsunami＂ factor anal,zsis. In today＇s era of economic and financial, securities investment risk measurement theory and practice of workers, is undoubtedly the focus of attention. This article compares the Markowitz mean variance model （Mean Variance Model）, Sharpe Capital Asset Pricing Model （CAPM）, Harlow optimal lower partial mo ment risk measurement models, take full account of the measurement of return and risk indicators, based on double objective programming solution procedure are an optimal portfolio investment risk measurement ＂models.

关 键 词：证券投资 风险计量 优化模型 

分 类 号：F830.91[经济管理—金融学]