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中国管理科学

中国管理科学 ›› 2002, Vol. ›› Issue (6): 13-17.

• 论文 • 上一篇    下一篇

投资组合均值-方差模型和极小极大模型的实证比较

朱奉云, 邱菀华, 刘善存   

  1. 北京航空航天大学经济管理学院, 北京, 100083
  • 收稿日期:2002-02-03 出版日期:2002-12-28 发布日期:2012-03-06
  • 基金资助:
    国家自然科学基金资助项目(79870031;79910761860;79942015)

An Empirical Comparison between Mean-variance Model and Minimax Model in Chinese Stock Market

ZHU Feng-yun, QIU Wan-hua, LIU Shan-cun   

  1. School of Economics and Management, Beijing University of Aeronautics & Astronautics, Beijing 100083, China
  • Received:2002-02-03 Online:2002-12-28 Published:2012-03-06

PDF (PC)

4060

被引次数

72

摘要： 本文针对传统的Markowitz均值-方差(MV)模型和Young(1998)提出的极小极大(Minimax)模型进行了实证比较研究。我们将2001年上证30指数的实际数据分成两部分,一部分作为样本数据进行优化组合分析,另一部分作为非样本数据进行模拟投资,检验绩效。结果发现:在同样的样本数据下,由两种模型的解描绘的风险-收益率有效前沿图非常相似;将两组模型的最优解分别进行模拟投资,Minimax模型的结果明显优于MV模型。本文的实证结果检验了Minimax模型的理论结论,表明其在实际投资中具有良好的可操作性和实用价值。

关键词: 投资组合, 均值-方差模型, 极小极大模型, 风险度量

Abstract: Two portfolio selection models,the traditional Markowitz Mean-variance model and Minimax model,proposed by Young in 1998,are studied and empirically compared in this paper.The true historical data of Chinese Shangzhen 30 Index is divided into two parts:one as sample data for portfolio optimization analysis,the other as out-of-sample data for testing.The results show that risk-return efficient frontiers have very similar shapes.But the performance of strategy based on Minimax model are better than that of MV model.The empirical results prove the theoretical conclusions of the paper and show that Minimax is very operational and practicable.

Key words: portfolio selection, mean-variance model, minimax model, measure of risk

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