| H值意义下优良证券组合的筛选 |
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| 引用本文： | 梁亦孔,柴俊. H值意义下优良证券组合的筛选[J]. 华东师范大学学报(自然科学版), 2007, 2007(5): 92-97 |
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| 作者姓名： | 梁亦孔 柴俊 |
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| 作者单位： | 1. 上海工程技术大学,基础学院,上海,201600
2. 华东师范大学,数学系,上海,200062 |
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| 基金项目： | 上海市高校优秀青年教师后备人选科研项目 |
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| 摘 要： | 研究如何从证券市场上的众多证券中筛选出“好”的若干种证券进行组合投资.首先，在允许卖空的情况下，第一次给出了评价证券组合优劣的H值准则，然后在H值意义下进行优良证券组合的筛选. 其次, 引入市场指数模型, 得到市场指数模型下H值的简化定理, 使筛选工作成为可能.
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| 关 键 词： | H值 证券组合 市场指数模型 均值方差模型 H值 证券组合 市场指数模型 均值方差模型 |
| 文章编号： | 1000-5641（2007）05-0092-06 |
| 收稿时间： | 2006-09-15 |
| 修稿时间： | 2006-09-01 |
Selection of Top Quality Portfolio under H-Value Rule |
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| LIANG Yi-kong,CHAI Jun. Selection of Top Quality Portfolio under H-Value Rule[J]. Journal of East China Normal University(Natural Science), 2007, 2007(5): 92-97 |
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| Authors: | LIANG Yi-kong CHAI Jun |
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| Affiliation: | 1. College of Fundamental Studies, Shanghai University of Engineer Science, Shanghai 20016,China; 2. Department of Mathematics, East China Normal University, Shanghai 200062, China |
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| Abstract: | This paper studied how to select several top quality stocks from thousands of stocks in the security market to get a better portfolio.Firstly,H-value rule which can evaluate quality of portfolio was given under the condition of permitting short-sailing for the first time.Then,how to select the better portfolio under H-value rule was studied,Secondly,A simplified theorem of H- value was introduced under the market index model.It showed the efficiency of the selection. |
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| Keywords: | H-value portfolio market index model Mean variance model |
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