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中国管理科学

中国管理科学 ›› 2004, Vol. ›› Issue (1): 20-23.

• 论文 • 上一篇    下一篇

基于M-SemiA.D组合投资模型及对上海股市实证研究

赵贞玉, 欧阳令南   

  1. 上海交通大学安泰管理学院, 上海, 200030
  • 收稿日期:2002-12-23 修回日期:2003-12-16 出版日期:2004-02-28 发布日期:2012-03-07

The Portfolio Model Based on M-SemiA.D and the Empirical Research on Shanghai Stock Market

ZHAO Zhen-yu, OUYANG Ling-nan   

  1. Management School, Shanghai Jiaotong University, Shanghai 200030, China
  • Received:2002-12-23 Revised:2003-12-16 Online:2004-02-28 Published:2012-03-07

PDF (PC)

1774

被引次数

35

摘要： 马柯威茨的均值-方差(M-V)模型中以方差度量风险存在两个致命的缺陷,为了更精确度量风险,作者提出了半绝对离差(SemiA.D)概念,并以此对M-V模型进行改进。通过对上海有代表性的50支股票复权价进行分析,我们得到:在每个期望收益率水平上,基于M-SemiA.D模型的投资组合都优于M-V模型中的投资组合,并且有效投资组合满足两基金分离定理。

关键词: 投资组合, 两基金分离定理, 风险弹性, 半绝对离差

Abstract: There are two fatal flaws to measure the exposure with variance in Markowitz’s M-V Model.In order to measure the exposure in a more accurate way,the author brings forward the concept of SemiA.D,and makes improvement to the M-V Model with it.After analyzing the recovered prices of 50 typical stocks in Shanghai Securities Exchange,we conclude that on every expected rate of return,the portfolios based on M-SemiA.D Model are unexceptionally superior to those based on M-V Model,and the effective portfolio satisfies the "Two Funds Separation Theorem".

Key words: portfolio, two funds separation theorem, elasticity of risks, semi average deviation(semiA.D)

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