| 基于不同风险度量的投资组合模型实证分析 |
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| 引用本文： | 肖贤春,胡支军.基于不同风险度量的投资组合模型实证分析[J].贵州大学学报(自然科学版),2006,23(3):249-253. |
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| 作者姓名： | 肖贤春 胡支军 |
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| 作者单位： | 贵州大学数学系,贵州,贵阳,550025 |
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| 基金项目： | 贵州省自然科学基金资助项目(黔科教合J(2005)2002号) |
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| 摘 要： | 利用上海证券市场的实际交易数据对半绝对离差模型，基于分位数的绝对离差模型（Ruszczynski＆Vanderbei，2003）以及MV模型进行了实证比较．通过分析各模型的全局最小风险组合，计算发现，半绝对离差模型比其他模型具有更好的样本外业绩．
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| 关 键 词： | 投资组合模型 风险度量 随机占优 |
| 文章编号： | 1000-5269（2006）03-0249-05 |
| 收稿时间： | 2006-06-28 |
| 修稿时间： | 2006-06-28 |
The Empirically Analysis of Portfolio Optimization Models Based on Different Measure of Risk |
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| XIAO Xian-chun,HU Zhi-jun.The Empirically Analysis of Portfolio Optimization Models Based on Different Measure of Risk[J].Journal of Guizhou University(Natural Science),2006,23(3):249-253. |
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| Authors: | XIAO Xian-chun HU Zhi-jun |
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| Institution: | Department of Mathematics, Guizhou University, Guiyang 550025, China |
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| Abstract: | This paper compare portfolio optimization models based on different risk measurement using data from Shanghai securities market.We compares the global minimum risk portfolios of the different models:semi-absolute deviation model,weighted absolute deviation from the quantile model(Ruszczynski & Vanderbei,2003)and mean-variance model.The empirical study shows that semi-absolute deviation model is superior to the other two models and weighted absolute deviation from the quantile model is better than the mean-variance model. |
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| Keywords: | portfolio optimization model risk measurement stochastic dominance |
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