Harlow下偏矩证券组合优化模型实证研究  

Demonstrative research of Harlow Lower Partial Moment security combinatorial optimization mode

作　　者：刘硕[1] 田影圆 

机构地区：[1]北京印刷学院经济管理学院,北京102600

出　　处：《特区经济》2013年第12期62-63,共2页Special Zone Economy

摘　　要：风险的度量是投资决策的核心问题。与经典的资产组合理论利用投资品收益率方差度量风险的方法相比,下偏矩方法更为科学。下偏矩方法能够有效反映投资者的心理特征,而且具有较高的资源配置效率,是非常理想的风险度量指标。本文以Harlow下偏矩证券组合优化模型为理论基础,选取我国A股股票作为研究对象,利用MATLAB的非线性规划函数进行求解,快捷高效地建立了有效证券投资组合,验证了利用下偏矩进行风险度量构造有效投资组合的高效性与优越性。Measuring the risk is the core problem of investment decision-making. Compared with the Portfolio Theory which uses the variance to measure the risk of investment, the LPM is more scientific. The LPM statistic value is a perfect measure of risk which can reflect the psychology of investors and has a high-ef- ficiency for resource distribution. This paper chooses the several Chinese stocks as the sample and solves the optimal portfolio based on the Harlow＇s optimal LPM＇ portfolio model by using the MATLAB, by doing so, we prove the high -efficiency and superiority of LPM statistic value by measuring risk.

关 键 词：风险 下偏矩 有效投资组合 MATLAB 

分 类 号：F830.91[经济管理—金融学]