摘要
在分析Markowitz模型不足的基础上,提出了一个修正模型。该模型将投资者所能承受的最大损失锁定,重新定义了投资组合收益和风险的概念,通过引进投资者对待收益和风险的心理取向系数,将收益和风险两目标融为一体,从而将双目标优化模型转变成单目标优化模型。并针对深圳股市上9种股票的数据进行了计算,验证了模型的有效性。
On the basis of studying shortcomings about Markowitz’s model,a revised model is given in this paper.By means of drawing the concept of the risk on the value,this paper define the concept about profit and risk of portfolio composition again and combine these two objects into a single one well by drawing the investor’s psychological coefficient which describes the investor’s intention value to these two objects.So,Markowitz’s model is turned into a linear programming model.In the end,the revised model is applied to how to decide the proportion of (9 stocks) in Shenzhen stock market,which verifies the effectivness of the model.
出处
《南京林业大学学报（自然科学版）》
CAS
CSCD
北大核心
2005年第1期51-54,共4页
Journal of Nanjing Forestry University：Natural Sciences Edition
基金
南京林业大学科研基金资助项目(X02-070-1)
关键词
有价证券选择
风险测量
优化模型
Portfolio selection
Risk measure
Optimization model
