半绝对偏差投资组合模型构建及其应用

The Construction and Application of Semi-absolute Deviation Portfolio Models

通过对模糊隶属函数以及基金投资组合基本模型的适当变形,构建了带交易费及流动性约束的极大极小-半绝对偏差投资组合模型.选取5支证券,依据2008年全年的数据作为样本数据,按投资者的不同偏好得出不同的最优投资策略,并对几种情形进行了对比,结果显示此模型能很好地反映出投资者的主观意愿,具有很好的灵活性.

Through the appropriate transformation of fuzzy membership function and the basic fund portfolio Model,and considering the transaction costs and liquidity constraints,a Minimax-Semi-absolute Deviation portfolio model was given.Selecting five securities＇s whole years＇data of 2008 as the sample data,and according to the different preferences of investors,the optimal investment strategies of the model were solved,and several cases were compared.The results show that this model can reflect the subjective views of the investors and has good flexibility.