安全第一的证券组合优化模型与绩效管理

Optimal Model of Portfolio under Safety-First Criteria and Portfolio Performance Management

对传统确定最优证券组合方法即马可维茨方法需知道投资者无差异曲线 ,从而较难在实践中运用 ,提出了安全第一准则 ,借用安全性参数直接求解一个最优化问题 ,得到了基于安全第一下证券组合优化模型 ,对其中概率约束条件给出两种处理方法。

We point out the shortage of optimal portfolio model which was suggested by Markowitz in 1952, this theory has been less useful in practice because one must know indifference curves of investors. We propose safety first criteria and get optimal portfolio model under this criteria. Two methods are given to do with probability condition, and we obtain optimal portfolio. At last, we give safety first index to portfolio performance management.