均值—绝对偏差模型鲁棒优化策略的有效性——基于中国股票市场的实证分析

Analysis of the Validity for the Robust Optimization Strategy of Mean- Absolute Deviation Model Based on Chinese Stock Market

在不确定的金融市场中,由于各种金融产品风险存在差异,因此,如何在兼顾收益与风险的情况下对产品进行组合选择,也就成为投资组合的重要问题。通过将均值—绝对偏差模型的鲁棒优化模型与我国证券市场实际情况相结合的方法,提出简化模型,并且以MATLAB为工具,提出该线性模型求最优解的新方法。同时,将均值—绝对偏差模型的鲁棒优化模型的最优解与其他投资组合模型进行比较,证明该模型优于所选的其他模型。

In the uncertain financial markets, because of the difference in all kinds of the risk of financial products, how to make se- lection and portfolio of the products under the condition of the considering of both benefits and risks becomes an important issue of in- vestment portfolios. Based on the combination of robust optimization of mean-absolute deviation model and the real situation of Chinese securities market, the simplified model is proposed, and through the tool of MATLAB, a new solving method for the linear model for the optimal solution is advanced. At the same time, the optimality solution to the robust model of mean-absolute deviation model is com- pared with other portfolio models to prove that this model is better than the selected comparative models.