| 动态半绝对离差投资组合选择模型 |
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| 引用本文： | 郭福华,邓飞其.动态半绝对离差投资组合选择模型[J].系统工程,2006,24(9):68-73. |
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| 作者姓名： | 郭福华 邓飞其 |
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| 作者单位： | 华南理工大学,系统工程研究所,广东,广州,510640 |
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| 基金项目： | 国家自然科学基金;广东省自然科学基金 |
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| 摘 要： | 考虑连续时间金融市场的投资组合选择问题。在标准的Black-Scholes型金融市场下，建立了动态均值半绝对离差投资组合选择模型．研究了模型的求解方法，得到了最优投资组合策略的解析表达式及均值一半绝对离差的有效前沿方程。同时，与动态均值一方差模型作了比较分析。最后．通过实证分析说明了模型的求解方法。
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| 关 键 词： | 半绝对离差 动态投资组合 有效前沿 |
| 文章编号： | 1001-4098（2006）09-0068-06 |
| 收稿时间： | 2006-04-11 |
| 修稿时间： | 2006-04-112006-06-01 |
A Dynamic Semi-absolute Deviation Portfolio Selection Model |
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| GUO Fu-hua,DENG Fei-qi.A Dynamic Semi-absolute Deviation Portfolio Selection Model[J].Systems Engineering,2006,24(9):68-73. |
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| Authors: | GUO Fu-hua DENG Fei-qi |
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| Institution: | Institute of Systems Engineering, South China University of Teeh. , Guangzhou 510640,China |
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| Abstract: | A portfolio selection problem in the continuous-time financial market is considered in this paper. In the standard Black-Scholes financial market, a dynamic seml-absolute deviation portfolio selection model is established and the method of solving tiffs model is researched. Explicit expressions for the optimal portfolio strategy and the efficient frontier equation for the dynamic Mean Semi A. D portfolio selection model are obtained. Meanwhile, comparative analysis between dynamic Mean-Variance and Mean-Semi A. D model are made, Finally,the method of solving this model is illustrated by empirical analysis. |
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| Keywords: | Semi A D Dynamic Portfolio Efficient Frontier |
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