离散约束条件下的实用投资组合选择模型

Realistic Portfolio Selection Models with Discrete-type Constraints

鉴于现实证券市场中的投资会受到很多类型的约束的限制,本文在同时综合反映多种市场摩擦与恰当度量投资风险的原则下,构建了两种分别以CVaR和双边一致性度量为风险度量的离散型多重约束实用投资组合选择模型。基于深圳证券交易所A股的日交易数据,我们从实证角度着重考虑了交易费用约束与逻辑约束对最优投资策略选择及其性能的影响,并给出了一些实用的投资建议。实证结果表明:新模型不仅可行、有效,而且能合理反映不同市场摩擦的作用。

There are many different kinds of investment restrictions in real stock markets. Aimed at comprehensively reflecting various market frictions and properly measuring the investment risk, we construct two new realistic portfolio selection models with several discrete-type constraints by adopting CVaR and the two-sided coherent risk measure as the investment risk measure, respectively. With daily trading data from the Shenzhen stock market, we empirically investigate the influence of the proportional transaction cost constraint and logical constraints on the optimal portfolio selection and its performance. Some useful investment suggestions are then derived from our empirical results. Detailed empirical results and analyses not only show the reasonability and practicality of our new models, but the functions of different market frictions.