| 组合证券投资模型研究 |
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| 引用本文： | 荣喜民 张喜彬 等. 组合证券投资模型研究[J]. 系统工程学报, 1998, 13(1): 81-88 |
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| 作者姓名： | 荣喜民 张喜彬 等 |
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| 作者单位： | 天津大学数学系，天津大学管理学院 |
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| 摘 要： | 在分析Ｍａｒｋｏｗｉｔｚ组合证券投资模型、绝对离差风险测度模型和Ｅ－Ｓｈ风险测度模型的基础上，针对上述模型的不足之处，提出了新的风险测度下的组合证券投资最优化模型，给出了计算最优投资权重系数和确定有效边界的方法．并结合案例分析了最优化模型的有效性
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| 关 键 词： | 组合证券投资，风险测度，风险相关矩阵 |
RESEARCH ON PORTFOLIO INVESTMENT MODELS |
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| Rong Ximin. RESEARCH ON PORTFOLIO INVESTMENT MODELS[J]. Journal of Systems Engineering, 1998, 13(1): 81-88 |
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| Authors: | Rong Ximin |
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| Abstract: | This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example. |
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| Keywords: | portfolio investment risk measure risk correlation matrix |
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