基于M-SemiA.D组合投资模型及对上海股市实证研究  

The Portfolio Model Based on M-SemiA.D and the Empirical Research on Shanghai Stock Market

作　　者：赵贞玉[1] 欧阳令南[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200030

出　　处：《中国管理科学》2004年第1期20-23,共4页Chinese Journal of Management Science

摘　　要：马柯威茨的均值-方差(M V)模型中以方差度量风险存在两个致命的缺陷,为了更精确度量风险,作者提出了半绝对离差(SemiA D)概念,并以此对M V模型进行改进。通过对上海有代表性的50支股票复权价进行分析,我们得到:在每个期望收益率水平上,基于M SemiA D模型的投资组合都优于M V模型中的投资组合,并且有效投资组合满足两基金分离定理。There are two fatal flaws to measure the exposure with variance in Markowitz's M-V Model.In order to measure the exposure in a more accurate way,the author brings forward the concept of SemiA.D,and makes improvement to the M-V Model with it.After analyzing the recovered prices of 50 typical stocks in Shanghai Securities Exchange,we conclude that on every expected rate of return,the portfolios based on M-SemiA.D Model are unexceptionally superior to those based on M-V Model,and the effective portfolio satisfies the 'Two Funds Separation Theorem'.

关 键 词：投资组合 两基金分离定理 风险弹性 半绝对离差 

分 类 号：F830.59[经济管理—金融学] C934[经济管理—管理学]