几种最优投资组合在有效边界上相对位置

Relative location of optimal portfolios on efficient frontier

讨论了均值-VaR、均值-AVaR、方差-均值比等风险-收益投资组合优化模型的最优解的有效性.基于Markowitz均值-方差模型和有效边界理论,证明了如果各模型的最优投资组合存在,则一定位于均值-方差有效边界上.计算了各投资组合模型最优解处的均值和标准差,根据计算结果讨论了各模型的最优投资组合在有效边界上的位置.特别地,均值-VaR模型的最优投资组合在有效边界上的位置与置信水平有关.

The validities of the optimal solutions of reward-risk portfolio optimization models are discussed,such as mean-VaR model,mean-AVaR model,mean-variance ratio model,etc..It is proved that based on Markowitz mean-variance model and efficient frontier theory,if the optimal portfolios exist,they must be located on the efficient frontier of mean-variance.The mean and standard deviation of these models＇ optimal solutions are calculated.According to the calculated results, the relative location of the optimal portfolios on the efficient frontier is discussed. Particularly,the location of mean-VaR model＇s optimal portfolio on the efficient frontier varies with confidence levels.