引入流动性的证券投资组合模型构建与实证分析

为更好地体现流动性对于开放式基金投资组合的重要意义,在马柯维茨“均值-方差”模型的基础上创造性地引入流动性因素,通过构造“稳健因子”,来构造出以“收益”、“风险”和“稳健因子”所组成的三维空间里投资组合的有效前沿.经过实证检验得出,引入“稳健因子”的三维投资组合相比于仅以“收益”和“风险”所构造的二维投资组合,在收益提高、风险控制等方面具有一定的优势.

A Theoretical Construction and Empirical Analysis of the Portfolio added Liquidity

In order to reflect the importance of liquidity to open-end fund portfolio,the paper creatively added "liquidity" to Markowitz's "mean-variance" model,and by constructing "steadiness factor" constructed an available boundary of a portfolio in a three-dimensional space that was determined by "return","risk" and "steadiness factor".The demonstration indicates: the three-dimensional portfolio that is added "steadiness factor" excels the two-dimensional portfolio that is determined only by "return" and "risk" in many aspects, such as return increasing,risk avoiding and so on.