基于收益率倒数损失的投资组合指标

A Study of Portfolio Index Based on Inverse Return Loss

本文针对Markowitz均值 -方差投资模型所产生效率前沿的高收益高风险现象 ,以收益率倒数之投资损失函数为基础 ,提出一个可以适当地反映期望收益率与风险间均衡关系的投资组合指标 (IR)。透过实例验证。IR指标的适用性得以确认 ,同时也发现以“差异系数”作为组合投资指标并不适用于高收益高风险的情况。

An efficiency frontier generated by Markowitz mean-variance portfolio model normally has high return high risk characteristic.Based on a loss function of inverse return,a portfolio index called IR,which well tradeoffs return with risk,is proposed to evaluate the portfolios in efficiency frontier.Empirically,the usefulness of IR index is confirmed,however,the'coefficient of variance'is impropriated.