投资组合均值-方差模型和极小极大模型的实证比较

An Empirical Comparison between Mean-variance Model and Minimax Model in Chinese Stock Market

本文针对传统的Markowitz均值 -方差 (MV)模型和Young(1998)提出的极小极大 (Minimax)模型进行了实证比较研究。我们将 2 0 0 1年上证 30指数的实际数据分成两部分 ,一部分作为样本数据进行优化组合分析 ,另一部分作为非样本数据进行模拟投资 ,检验绩效。结果发现 :在同样的样本数据下 ,由两种模型的解描绘的风险 -收益率有效前沿图非常相似 ;将两组模型的最优解分别进行模拟投资 ,Minimax模型的结果明显优于MV模型。本文的实证结果检验了Minimax模型的理论结论 ,表明其在实际投资中具有良好的可操作性和实用价值。

Two portfolio selection models,the traditional Markowitz Mean-variance model and Minimax model,proposed by Young in 1998,are studied and empirically compared in this paper.The true historical data of Chinese Shangzhen 30 Index is divided into two parts:one as sample data for portfolio optimization analysis,the other as out-of-sample data for testing.The results show that risk-return efficient frontiers have very similar shapes.But the performance of strategy based on Minimax model are better than that of MV model.The empirical results prove the theoretical conclusions of the paper and show that Minimax is very operational and practicable.