期刊论文

Optimization on the Mean Semi-absolute Deviation Portfolio Models

中文

科学技术与工程

1671-1815

2008

8

1

292-294

10.3969/j.issn.1671-1815.2008.01.073

国家自然科学基金项目（70471077）资助；

本校为其他机构

为了验证投资组合理论在中国证券市场的有效性,针对不允许卖空情况,研究了均值-半绝对偏差投资组合模型,并运用线性规划的旋转算法进行求解。选取1998-2000年沪市六只业绩较好的股票,依据1998-1999年的数据作为样本数据,求出模型在不同期望收益率下的最优投资策略,将得出的最优投资策略应用到2000年,进行模拟投资,从而计算出各模型的总收益率。

In order to prove investment theory efficient in Chinese security, mean semi-absolute deviation model without short sales is proposed , and used linear programming pivoting algorithm to solve those models. Six securities are chosen from ShangHai security market. According to two years＇ data from 1998 to 1999, the optimal investment tactics of different expected returns of the model were solved. The tactics were used to in...