组合证券投资模型研究  

RESEARCH ON PORTFOLIO INVESTMENT MODELS

作　　者：荣喜民[1] 张喜彬[2] 张世英[2] 

机构地区：[1]天津大学数学系 [2]天津大学管理学院

出　　处：《系统工程学报》1998年第1期81-88,共8页Journal of Systems Engineering

摘　　要：在分析Ｍａｒｋｏｗｉｔｚ组合证券投资模型、绝对离差风险测度模型和Ｅ－Ｓｈ风险测度模型的基础上，针对上述模型的不足之处，提出了新的风险测度下的组合证券投资最优化模型，给出了计算最优投资权重系数和确定有效边界的方法．This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.

关 键 词：组合证券投资模型 风险测度 证券市场 目标函数 二次规划 

分 类 号：F830.91[经济管理—金融学]