有关风险测度及组合证券投资模型研究

Markowitz以证券收益率的方差作为投资风险的测度建立了组合证券投资决策模型 ,并进行最优证券组合的选择 .本文分析了 Markowitz模型的不足之处 ,以半方差 ( E- Sh)风险测度为基础 ,提出了最优证券组合选择的风险目标函数 ,建立了组合证券投资决策的最优化模型 ,同时给出了最优化模型的求解方法以及证券组合有效边界的确定方法 .最后 ,文章结合实际案例 ,分析了风险目标函数及最优化模型在实际应用中的有效性.

Research on Portfolio Investment Model Under the E-Sh Risk Measure

Markowitz introduces the variance of marketable security's revenue rate as the investment risk measure, and constructs portfolio investment model to perform the selection procedure of an optimal portfolio. This paper analyses the shortcomings of Markowitz model, provides the risk goal function for the optimal portfolio selection, and constructs portfolio investment decision model. The paper also presents the solution of optimization model and the determination method of the portfolio efficient frontier. In the end, the paper elaborates the effectiveness of the risk goal function and the optimization model in the application research with a practical example.