文章摘要
张曼荔,胡晓华.风险证券组合对偶问题的推广与应用[J].海南师范大学学报自科版,2019,32(4):410-415
风险证券组合对偶问题的推广与应用
Generalization and Application of Portfolio Duality of Risk Securities
  
DOI:10.12051/j.issn.1674-4942.2019.04.009
中文关键词: 最优投资组合  均值-方差模型  对偶模型  偏好系数
英文关键词: optimal portfolio  mean-variance model  dual model  preference coefficient
基金项目:
作者单位
张曼荔,胡晓华 海南师范大学 数学与统计学院海南 海口 571158 
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中文摘要:
      美国经济学家Markowitz在1952年首次提出最优投资组合理论,通过建立均值-方差模 型解决了证券投资组合在期望收益水平下求得风险最小的最优投资组合和有效前沿的问题。文 章考虑成交量因素所带来的风险,引入偏好系数α,把投资组合风险分解为价格风险和成交量风 险,即σ2P = ασ2pr + (1 - α )σ2pv,将Markowitz对偶问题模型进行了推广。文章还研究了证券组合由风 险证券构成时的最优投资组合及其有效前沿问题,借助Eviews8.0和MATLAB(R2010b)软件对沪深 股市中两组股票的日数据和月数据投资组合进行了实证分析,说明推广后的结果更符合实际 情况。
英文摘要:
      Markowitz first proposed the optimal portfolio theory in 1952,and solved the problem of obtaining the optimal portfolio with the least risk and the effective frontier under the expected return level by establishing mean-variance model. In this paper, the portfolio risk was decomposed into price risk and volume risk (σ ) 2p = ασ2pr + (1 - α) σ2pv , by considering the risk caused by the transaction volume factor and introducing the preference coefficient α. The paper extend the Markow⁃ itz dual problem model. The paper also studied the optimal portfolio and its effective frontier problem when the portfolio was composed of risky securities. The daily and monthly data of two groups of stocks in Shanghai and Shenzhen stock mar⁃ kets were analyzed with the help of Eviews8.0 and MATLAB(R2010b) software. From the perspective of empirical analysis, the generalized results were more realistic with the actual situation.
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