交易成本均值—半绝对偏差模型的鲁棒优化策略  

Robust Optimization Strategy of Mean-Semi Absolute Deviation Model under Transaction Costs

作　　者：赵庆[1] 王志强[2] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025 [2]东北财经大学科研处,辽宁大连116025

出　　处：《鲁东大学学报（自然科学版）》2015年第1期27-31,共5页Journal of Ludong University:Natural Science Edition

基　　金：国家自然科学基金(71173030)

摘　　要：在均值—半绝对偏差模型基础上,提出了交易成本均值—半绝对偏差模型、鲁棒交易成本均值—半绝对偏差模型,并在基金市场进行实证分析,结果表明:交易成本均值—半绝对偏差模型能较好地反映资本市场实际情况,鲁棒交易成本均值—半绝对偏差模型绩效优于交易成本均值—半绝对偏差模型,并且对提升投资组合绩效也是有效的.Based on the model of mean-semi absolute deviation,the transaction cost mean-semi absolute deviation model and robust transaction cost mean-semi absolute deviation model were put forward,and the empirical analysis was done in the fund market.The results show that transaction cost mean-semi absolute deviation model can better reflect the actual situation of the capital markets,the performance of robust transaction cost mean-semi absolute deviation model is better than transaction cost mean-semi absolute deviation mode,and it is also effective to improve portfolio performance.

关 键 词：投资组合 交易成本 均值—半绝对偏差 鲁棒优化 

分 类 号：O232[理学—运筹学与控制论] F830[理学—数学]