具有现实约束的均值-VaR投资组合绩效评价  

Measuring the Efficiency of Mean-VaR Portfolio Selection with Real Constraints

作　　者：曾永泉 张鹏 ZENG Yongquan;ZHANG Peng(College of Humanities and Social Sciences, Zhongkai University of Agriculture and Engineering, Guangzhou 510225, China;School of Economics and Management, South China Normal University, Guangzhou 510006, China)

机构地区：[1]仲恺农业工程学院人文与社会科学学院,广州510225 [2]华南师范大学经济与管理学院,广州510006

出　　处：《华南师范大学学报（自然科学版）》2020年第4期95-103,共9页Journal of South China Normal University(Natural Science Edition)

基　　金：国家自然科学基金项目(71271161);广东省软科学项目(2019A101002066,2019A101002052,2018A070712030)。

摘　　要：考虑交易成本、借款约束、上下界约束和基数约束等实际约束条件,提出了均值-VaR投资组合优化模型;该投资组合优化模型非常复杂,难以获得真实前沿面的解析解,给投资组合理论的应用带来了很大的困难,因此,进一步提出了具有实际约束的均值-VaR投资组合DEA绩效评价模型,通过构建DEA模型的前沿面来逼近真实前沿面,从而对构建的投资组合绩效评价模型进行效率评价;最后,运用上海证券市场的股票周交易数据进行实证研究.研究结果表明:随着样本数据量的增大,DEA前沿面逐渐接近于真实前沿面.A mean-VaR model with the transaction costs,borrowing constraints,threshold constraints and cardinality constraints is proposed.As it is very difficult to solve the proposed model,the practical use of the model is limited.So the mean-VaR portfolio DEA performance evaluation model with real constraints is proposed.By constructing the frontier of the DEA model to approximate the real frontier,the efficiency evaluation of the constructed portfolio performance evaluation model is carried out.Finally,the weekly stock trading data of Shanghai stock market is used for empirical research.The results show that as the sample size increases,the frontier of the DEA is closer to the real frontier.

关 键 词：投资组合 均值-VAR 绩效评价 数据包络分析 基数约束 

分 类 号：O221.2[理学—运筹学与控制论] F830.91[理学—数学]