投资模型选择问题研究——理论模型及中国股票市场的投资实证研究

Study on the Model Selection in Portfolio Management

本文研究5类代表性的投资组合模型:方差、绝对偏差、LPM模型、极大极小模型以及最大绝对偏差模型,讨论不同的风险度量模型是否真的会造成资产配置的效果不同。区别于传统的从风险和收益的角度进行比较,本文研究5个风险模型得到的最优策略结构,通过权重和重叠的资产数目来探讨不同模型间的相似程度。实证结果发现,不同的风险度量模型会对投资组合的构成造成非常显著的影响。这些结果对投资者或基金经理进行投资实践具有非常重要的意义,因为传统看法普遍认为模型的选择取决于投资者对风险的态度,而不是从模型本身的理论或实践价值来选择模型。

In this paper, we study five important risk models in portfolio man- agement. The models are mean-variance model, mean absolute deviation model, LPM model, minimax model and maximum absolute deviation model. Compared with current study which focuses on the trade off of return and risk in the portfolio, we try to study the strategies proposed by these five models. That how many assets and how much weight are the same in the optimal strategy is researched in the pa- per. The result shows that different risk measure leads to different optimal strate- gy, which is very important to the investors and funding managers who always think that the risk attitude of the customers is the most important in the portfolio management.