带交易费的社保基金投资组合模型  

Research on the Investment Portfolio Selecting Model of Social Security Fund with Transaction Fee

作　　者：刘威[1] 胡旻昱 印凡成[1] 

机构地区：[1]河海大学理学院,江苏南京210098 [2]河海大学商学院,江苏南京210098

出　　处：《江南大学学报（自然科学版）》2014年第1期121-126,共6页Joural of Jiangnan University (Natural Science Edition)　

摘　　要：为了研究社保基金投资证券的问题,在借鉴了现代投资组合理论的基础上,引入β系数区间量化资产风险,通过修改隶属函数刻画投资收益率及流动性水平。考虑其安全性特点的前提下,构建了带有交易费的社保基金证券投资组合模型,并且设计了改进的遗传算法对模型进行求解。采用2012年上证所的实际数据,应用此模型求得各风险资产和无风险资产的最佳投资比例,通过修改参数值,得到了不同情况下的最优投资策略,验证了模型的有效性和灵活性,得到了合理的结论。In order to study the investment portfolio selection of social security fund, this paper introduces the coefficient interval to quantify the assets risk based on the modern portfolio and depicts the investment yield and liquidity level through modifying subordinate function. Under the premise of considering the security features, this paper builds an investment portfolio selecting model of social security fund with transaction fee and designs the improved genetic algorithm to solve the model. Finally, by using the actual data of the Shanghai Stock Exchange in 2012 and applying such model to acquire the most investment profilo of every risk asset and risk-free assets we obtain the optimal investment stategies through modifying parameter values, so that it checks the effectiveness and flexibility of this model.

关 键 词：β届系数 社保基金 证券投资组合模型 

分 类 号：F830.59[经济管理—金融学]