不允许卖空情况下M-VaR和M-SA投资组合比较研究

The Achievement Comparison Between Mean-VaR and Mean Semi-absolute Deviation Portfolio Models Without Short Sales

为了验证投资组合理论在中国证券市场的有效性,针对不允许卖空情况,文章分别研究了均值-VaR(M- VaR)和均值-半绝对偏差(M-SA)投资组合模型,并分别结合序列二次规划法和不等式组的旋转算法以及线性规划的旋转算法进行求解。文章选取1998-2000年沪市六只业绩比较好的股票,依据1998-1999年的数据作为样本数据,分别求出两个模型在不同期望收益率下的最优投资策略,将得出的最优投资策略应用到2000年,进行模拟投资,从而计算出各模型的总收益率。以等比例投资为标准,比较两个模型的绩效。最后,证明了两个模型对于中国证券市场是适用。

In order to prove investment theory efficient in Chinese security market,the paper studied the mean-VaR and mean semi-absolute deviation models without short sales,and used pivoting algorithm and sequence of quadratic programming method to solve those models.Six securities were chosen from Shanghai security market. According to two years' data from 1998 to 1999,the optimal investment tactics for different expected returns in the two models were solved.The tactics were used to invest in 2000,and the total return was calculated.According to the standard of average investment,achievement was compared between the two models.At last,the efficiency was proved in Chinese security market.