| 基于半离差风险收益的投资组合管理优化模型研究 |
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| 引用本文： | 宋光辉,许林.基于半离差风险收益的投资组合管理优化模型研究[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 宋光辉 许林 |
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| 作者单位： | 华南理工大学工商管理学院; |
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| 摘 要： | 本文在对投资组合管理理论分析的基础上,利用半离差法计算组合投资的风险与收益,克服了H. Markowitz提出的均值一方差模型研究的不足以及半方差模型的烦琐,提出了基于半离差风险收益的多目标优化模型;假设投资组合一般包括三种资产形式:股票、债券、现金。引进了机会成本概念在投资选择中的重要性,更加符合我国投资者的实际,便于操作,这为证券投资组合优化提供了一种新的方法,并有一定的参考借鉴价值。
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| 关 键 词： | 投资组合 半离差 多目标规划 投资机会成本 |
Study of Investment Portfolio Management Optimization Model Based on Semi-Deviation Risk-Return |
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| SONG Guang-hui,XU Lin.Study of Investment Portfolio Management Optimization Model Based on Semi-Deviation Risk-Return[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | SONG Guang-hui XU Lin |
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| Institution: | SONG Guang-hui,XU Lin (School of Business Management,South China University of Technology,Guangzhou 510641,China) |
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| Abstract: | On the basis of the investment portfolio management theoretical analysis,this paper adopts the semi-deviation method to calculate the risk-return of portfolio investment,overcoming the deficiency of mean-variance model by H.Markowitz and semi-variance model.It puts forward the multi-objective programming model based on semideviation risk-return,the supposed investment portfolio assets include three forms:stocks,bonds and cash.To introducle the concept of opportunity cost in the investment options is more su... |
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| Keywords: | investment portfolio semi-deviation multi-objective programming opportunity cost of investment |
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