考虑交易成本的投资组合效率估计方法

doi:10.16381/j.cnki.issn1003-207x.2015.01.004

中国管理科学 ›› 2015, Vol. 23 ›› Issue (1): 25-33.doi: 10.16381/j.cnki.issn1003-207x.2015.01.004

考虑交易成本的投资组合效率估计方法

周忠宝¹, 丁慧¹, 马超群¹, 王梅¹, 刘文斌^1,2

1. 湖南大学工商管理学院, 湖南长沙 410082;
2. Business School, University of Kent, Kent, CT2 7PE

收稿日期:2013-01-26 修回日期:2013-07-03 出版日期:2015-01-20 发布日期:2015-01-21
作者简介:周忠宝(1977-),男(汉族),山东齐河人,湖南大学工商管理学院副教授,博士生导师,研究方向:金融工程与风险管理、系统优化与决策.
基金资助:
国家自然科学基金资助项目(71371067,71431008)

Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs

ZHOU Zhong-bao¹, DING Hui¹, MA Chao-qun¹, WANG Mei¹, LIU Wen-bin^1,2

1. School of Business Administration, Hunan University, Changsha 410082, China;
2. Business School, University of Kent, Kent, CT2 7PE, England

Received:2013-01-26 Revised:2013-07-03 Online:2015-01-20 Published:2015-01-21

摘要/Abstract

摘要： 投资组合绩效评价是学术界研究的热点问题。本文在经典的经济学框架下,基于真实前沿面,给出了投资组合效率的明确定义。由于实际投资环境的影响,投资组合优化模型非常复杂,难以获得真实前沿面的解析解,这给投资组合效率的应用带来了很大的困难。本文基于投资组合理论,在投资组合模型所对应的前沿面为凹函数的情况下,采用基于数据的投资组合DEA评价模型构造前沿面来逼近真实的前沿面,从而估计一般情形下投资组合的效率。在此基础上研究了考虑交易成本的投资组合效率评价问题,并用实例说明了本文方法的合理性与可行性。

关键词: 投资组合效率, 有效前沿面, 数据包络分析, 交易成本

Abstract: Portfolio performance is an academic hotspot for researchers. Within the classical framework of economics, the definition of portfolio efficiency is provided based on the efficient frontier. However, in practical situations, the portfolio optimization models are usually very complicated, and thus the analytical solutions of frontier are very difficult to obtain. Under the assumption that the real efficient frontier is a concave function, DEA model is adopted to approximate the real frontier and portfolio efficiencies. The problem of evaluating the portfolio efficiency on considering transaction costs is examined. In the end, some examples are presented to show the practicality and feasibility of the proposed approach.

Key words: portfolio efficiency, efficient frontier, data envelopment analysis, transaction costs

中图分类号:

F830.59

周忠宝, 丁慧, 马超群, 王梅, 刘文斌. 考虑交易成本的投资组合效率估计方法[J]. 中国管理科学, 2015, 23(1): 25-33.

ZHOU Zhong-bao, DING Hui, MA Chao-qun, WANG Mei, LIU Wen-bin. Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs[J]. Chinese Journal of Management Science, 2015, 23(1): 25-33.

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考虑交易成本的投资组合效率估计方法

Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs

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