| 不允许卖空情况下M-VaR和M-SA投资组合比较研究 |
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| 引用本文： | 张鹏,张忠桢.不允许卖空情况下M-VaR和M-SA投资组合比较研究[J].中国管理科学,2008(Z1). |
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| 作者姓名： | 张鹏 张忠桢 |
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| 作者单位： | 武汉科技大学管理学院;武汉理工大学管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70471077); 武汉科技大学校基金资助项目(2008XY33); 教育部人文社会科学研究项目 |
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| 摘 要： | 为了验证投资组合理论在中国证券市场的有效性,针对不允许卖空情况,文章分别研究了均值-VaR(M- VaR)和均值-半绝对偏差(M-SA)投资组合模型,并分别结合序列二次规划法和不等式组的旋转算法以及线性规划的旋转算法进行求解。文章选取1998-2000年沪市六只业绩比较好的股票,依据1998-1999年的数据作为样本数据,分别求出两个模型在不同期望收益率下的最优投资策略,将得出的最优投资策略应用到2000年,进行模拟投资,从而计算出各模型的总收益率。以等比例投资为标准,比较两个模型的绩效。最后,证明了两个模型对于中国证券市场是适用。
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| 关 键 词： | 投资组合 均值-VaR模型 均值-半绝对偏差模型 旋转算法 |
The Achievement Comparison Between Mean-VaR and Mean Semi-absolute Deviation Portfolio Models Without Short Sales |
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| ZHANG Peng,ZHANG Zhong-zhen.The Achievement Comparison Between Mean-VaR and Mean Semi-absolute Deviation Portfolio Models Without Short Sales[J].Chinese Journal of Management Science,2008(Z1). |
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| Authors: | ZHANG Peng ZHANG Zhong-zhen |
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| Institution: | ZHANG Peng~1,ZHANG Zhong-zhen~2 (1.School of Management,Wuhan Science , Techuology Uniuersiy Wuhan 430081,China,2.School of Managemend,Wuhan Institute of Technology,Wuhan 430070,China) |
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| Abstract: | In order to prove investment theory efficient in Chinese security market,the paper studied the mean-VaR and mean semi-absolute deviation models without short sales,and used pivoting algorithm and sequence of quadratic programming method to solve those models.Six securities were chosen from Shanghai security market. According to two years' data from 1998 to 1999,the optimal investment tactics for different expected returns in the two models were solved.The tactics were used to invest in 2000,and the total re... |
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| Keywords: | portfolio selection mean-VaR model mean semi-absolute model pivoting algorithm |
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