摘要
本文研究了积极投资组合更一般的风险收益关系,提出了传统跟踪误差模型和均值方差模型的统一形式。该模型不仅考虑了超额收益带来的相对风险,同时还考虑了总体风险,有效地改进了传统跟踪误差优化模型所固有的缺陷,并给出了模型最优解的显示表达式。另外,为减少模型中的待估参数,引入了多因素模型。最后给出一个例子。
This paper investigates the general risk and return relationship of active portfolios, and proposes an identical model of portfolio for tracking error and mean-variance. We consider not only the relative risk but also the absolute risk resulted from excess return, and explore the optimal solution of this model. In addition, the multi-factor model for security returns is introduced to reduce the estimated parameters. Finally, an example is given.
出处
《管理评论》
2006年第11期59-62,共4页
Management Review
基金
国家自然科学基金项目资助(70372011)。
