| 基于风险管理模式下的最佳投资策略研究 |
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| 引用本文： | 余玲,王浩华.基于风险管理模式下的最佳投资策略研究[J].海南大学学报(自然科学版),2014,32(3):217-224. |
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| 作者姓名： | 余玲 王浩华 |
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| 作者单位： | 海南大学信息科学技术学院,海南海口,570228 |
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| 基金项目： | 海南省自然科学基金项目，海南大学教育教学科研项目，海南省中西部高校提升综合实力工作资金项目 |
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| 摘 要： | 在马柯威茨投资组合模型的改进模型—均值-CVaR模型的基础上,使用半方差来作为风险度量,即只考虑其投资在损失的一侧来做出新的投资组合优化模型,最后对均值-方差和均值-半方差模型的有效前沿进行证明,并以5支股票为实例做了实证分析.
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| 关 键 词： | 风险管理 投资组合 均值-方差(半方差)模型 有效前沿 |
Optimal Investment Strategy Based on Risk-management Model |
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| YU Ling,WANG Hao-hua.Optimal Investment Strategy Based on Risk-management Model[J].Natural Science Journal of Hainan University,2014,32(3):217-224. |
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| Authors: | YU Ling WANG Hao-hua |
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| Institution: | YU Ling;WANG Hao-hua;Department of Applied Mathematics,Hainan University; |
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| Abstract: | Based on the Mean-CVaR model, the improved model of Markowitz portfolio selection model, semi- variance was used as a risk measure, which considers their investment only in the side of the loss to get a better portfolio, the efficient frontier of mean-variance and semi-variance model was verified. In addition, five stocks were used as the examples for empirical analysis. |
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| Keywords: | risk management investment combination mean-variance (semi-variance) model efficient frontier |
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