多约束投资组合优化问题的实证研究

为克服经典MV模型假设条件过于苛刻,而已有相关文献在对其进行修正时仅考虑部分投资约束等不足,文章通过考虑现实经济活动中存在的各类投资限制条件,建立了带有多种投资约束的广义MV模型.在说明了如何有效求解所得投资组合问题之后,基于中国证券市场的交易数据对新模型进行了实证研究.结果表明所给模型不仅是合理、有效的,而且可较好地指导投资者选择最优而稳健的投资方案.

Empirical Research about a Portfolio Optimization Problem with Multiple Investment Constraints

In order to avoid rigorous assumptions in the classical MV model and to overcome shortcomings that only some of investment constraints were included in existing papers aimed at improving the MV model, a generalized MV model with multiple investment constraints is established in this paper by simultaneously considering various investment restrictions in real economic activities. After discussing how to efficiently solve the derived portfolio selection model, empirical research is carried out by using trading data from the Chinese stock markets. Empirical results show that: the proposed new model is not only reasonable and efficient, but can properly guide investors to select the optimal and robust investment strategy.