摩擦市场条件下的Mean-Variance-Skewness模型

在投资组合选择模型中考虑了资产收益率分布中正的偏度水平,并通过引入一些市场摩擦因素建立了摩擦市场条件下的Mean-Variance-Skewness模型.提出了一个新的遗传算法加速其搜索收敛过程,解决了该模型的计算复杂性问题.在该模型框架内对交易费用和税收等市场摩擦因素进行了敏感性分析.研究证明资产收益率分布的偏度水平是与投资者的决策相关的,市场摩擦因素对投资者的决策行为也有直接的影响.因此,考虑摩擦市场条件下基于正偏度水平偏好的最优投资组合模型对投资者有很强的实践指导价值.

Study of Mean-Variance-Skewness model on condition of the friction market

In portfolio selection model, the positive skewness level of asset earning rate distribution was taken into consideration. By introducing some market friction factors, Mean-Variance-Skewness model on condition of the friction market was established. To settle calculation complexity problem of this model, putting forward a new genetic algorithm was put forward to accelerate its search process. The sensitivity of market friction factors comprising both tax and transaction costs in Mean-Variance-Skewness model were analyzed. Research findings proved that both skewness level of asset earning rate distribution and market friction factors had direct effect on decision-making behavior of investor. Optimum portfolio model on condition of the friction market has stronger practical guidance value for investors in consideration of preferences for positive skewness level.