| 基于M-SemiA.D组合投资模型及对上海股市实证研究 |
| |
| 引用本文： | 赵贞玉,欧阳令南.基于M-SemiA.D组合投资模型及对上海股市实证研究[J].中国管理科学,2004,12(1):20-23. |
| |
| 作者姓名： | 赵贞玉 欧阳令南 |
| |
| 作者单位： | 上海交通大学安泰管理学院, 上海, 200030 |
| |
| 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。
|
| 关 键 词： | 投资组合 两基金分离定理 风险弹性 半绝对离差 |
| 文章编号： | 1003-207(2004)01-0020-04 |
| 收稿时间： | 2002-12-23; |
| 修稿时间： | 2002年12月23 |
The Portfolio Model Based on M-SemiA.D and the Empirical Research on Shanghai Stock Market |
| |
| ZHAO Zhen-yu,OUYANG Ling-nan.The Portfolio Model Based on M-SemiA.D and the Empirical Research on Shanghai Stock Market[J].Chinese Journal of Management Science,2004,12(1):20-23. |
| |
| Authors: | ZHAO Zhen-yu OUYANG Ling-nan |
| |
| Institution: | Management School, Shanghai Jiaotong University, Shanghai 200030, China |
| |
| Abstract: | 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". |
| |
| Keywords: | portfolio two funds separation theorem elasticity of risks semi average deviation(semiA D) |
| 本文献已被 维普 万方数据 等数据库收录！ |
| 点击此处可从《中国管理科学》浏览原始摘要信息 |
| 点击此处可从《中国管理科学》下载免费的PDF全文 |
|
