证券组合投资的一般失望模型的改进

Improved General Disappointment Model of Portfolio Selection for Investment

在一般性失望模型的基础上,给出了包含交易费用因素的可以卖空的证券组合投资优化模型,该模型不仅考虑收益低于期望收益率时所带来的损失,而且还考虑了超过期望收益率时可能带来可观利润的收益,避免了方差与下方风险的诸多缺陷,并通过对沪深股市的模拟投资验证了所建模型的有效性和实用性.

Based on the analysis of general disappointed model, the portfolio investment model that includes the transaction costs factor and allows short selling is presented. This model not only takes the loss into consideration by the time when the profit rate is less than expected, but also considers the significant profit by the time when the profit rate is more than expected. According to this model, the disadvantages of the variance and down-side risk can be avoided. Finally, the availability and practicality of the model are proved through the simulative investment to six stocks of the Shanghai and Shenzhen stock markets.