证券投资基金的一种投资组合选择模型  

Portfolio selection model for securities investment funds

作　　者：汪温泉[1] 俞雪飞[1] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,沈阳110004

出　　处：《系统工程学报》2003年第3期279-283,共5页Journal of Systems Engineering

基　　金：国家重点科技攻关资助项目(97-562-03-01).

摘　　要：以Markowitz组合证券投资模型为基础,在期望-半方差(E＿Sv)风险测度条件下,针对带有交易费的投资组合优化问题进行了研究.提出了一种变形Γ-分布来描述股票的收益,给出了分布中参数的确定方法.根据中国证券投资基金的实际情况,建立了一种新的组合证券投资模型,为证券投资基金等机构投资者解决大型证券投资决策问题提供了一种方法.In this paper, based on the Markowitz's portfolio investment model, under the expection_semivariance risk measure, some studies pointing to portfolio optimization are made. A modified Γ_distribution is put forward to describe the yield of stock, and a method for determining the parameters is presented. According to the material case of securities investment funds in China, a new model of portfolio investment is developed, providing a way for institution investors such as securities investment funds to account for great decision_making of securities investment.Key works: securities investment funds; portfolio; expection_semivariance; modified Γ_distribution; transaction cost

关 键 词：证券投资基金 投资组合选择模型 股票收益 证券市场 组合优化问题 

分 类 号：F830.91[经济管理—金融学] O224[理学—运筹学与控制论]