基于收益率倒数损失的投资组合指标

中国管理科学 ›› 2002, Vol. ›› Issue (2): 6-11.

基于收益率倒数损失的投资组合指标

蔡宪唐¹, 戴贞德², 徐伟宣³

1. 高雄中山大学管理学院高雄 80204;
2. 高雄应用科技大学工业工程与管理系高雄 80204;
3. 中国科学院科技改革与管理科学科学研究所北京 100080

收稿日期:2001-03-09 修回日期:2001-10-12 出版日期:2002-04-28 发布日期:2012-03-06
基金资助:
中国科学院知识创新工程重大项目

A Study of Portfolio Index Based on Inverse Return Loss

TSAI Hsien-tang¹, DAY Jen-der², XU Wei-xuan³

1. Department of Business Management, Sun Yat-sen University, Kaohsiung 80204, Taiwan;
2. Department of Industrial Engineering and Management, Kaohsiung University of Applied Sciences, Kaohsiun 80204, Taiwan;
3. Institute of Policy & Management, Chinese Academy of Sciences, P1O1 Box 8712, Beijing 100080, China

Received:2001-03-09 Revised:2001-10-12 Online:2002-04-28 Published:2012-03-06

摘要/Abstract

摘要： 本文针对Markowitz均值 -方差投资模型所产生效率前沿的高收益高风险现象,以收益率倒数之投资损失函数为基础,提出一个可以适当地反映期望收益率与风险间均衡关系的投资组合指标 (IR)。透过实例验证。IR指标的适用性得以确认,同时也发现以“差异系数”作为组合投资指标并不适用于高收益高风险的情况。

关键词: 平均值-方差投资模型, 效率前缘,损失函数, 差异系数

Abstract: An efficiency frontier generated by Markowitz mean-variance portfolio model normally has high return high risk characteristic.Based on a loss function of inverse return,a portfolio index called IR,which well tradeoffs return with risk,is proposed to evaluate the portfolios in efficiency frontier.Empirically,the usefulness of IR index is confirmed,however,the"coefficient of variance"is impropriated.

Key words: mean-variance portfolio model, efficiency frontier, loss function, coefficient of variance

中图分类号:

C931
F224

蔡宪唐, 戴贞德, 徐伟宣. 基于收益率倒数损失的投资组合指标[J]. 中国管理科学, 2002, (2): 6-11.

TSAI Hsien-tang, DAY Jen-der, XU Wei-xuan. A Study of Portfolio Index Based on Inverse Return Loss[J]. Chinese Journal of Management Science, 2002, (2): 6-11.