中国股票市场卖空约束研究

Study on Short Sales Constraints in China Stock Market

本文的目标是研究中国股票市场中卖空约束对投资效率的影响。方差风险和允许卖空是Markowitz均值-方差投资组合选择模型的两个基本假定,但不符合中国股票市场的实际情况。本文建立了基于各种风险度量工具(方差、绝对离差和半方差)、具有卖空约束的投资组合选择模型,并使用Matlab优化工具箱求解。本文使用投资组合的Sharpe率的增长率来刻画投资组合的效率。结论是如果中国股票市场取消卖空约束,投资者可以显著改进投资效率。

In this paper, the authors show that investors can get more return when short sales constraints are cancelled. It is tested not only for mean-variance investors but also for mean-MAD (mean absolute deviation) investors and mean-semi-variance investors. The authors employ Matlab optimization toolbox to solve complex portfolio choice problems. The change ratio of Sharpe ratio is used to describe the shift from the frontier with short sales constraints to the frontier without short sales constraints. The test suggests that the short sales constraints should be cancelled in China stock market.