机构地区: 华南理工大学工商管理学院
出 处: 《中国管理科学》 2008年第S1期320-324,共5页
摘 要: 本文在对投资组合管理理论分析的基础上,利用半离差法计算组合投资的风险与收益,克服了H. Markowitz提出的均值一方差模型研究的不足以及半方差模型的烦琐,提出了基于半离差风险收益的多目标优化模型;假设投资组合一般包括三种资产形式:股票、债券、现金。引进了机会成本概念在投资选择中的重要性,更加符合我国投资者的实际,便于操作,这为证券投资组合优化提供了一种新的方法,并有一定的参考借鉴价值。 On the basis of the investment portfolio management theoretical analysis,this paper adopts the semi-deviation method to calculate the risk-return of portfolio investment,overcoming the deficiency of mean-variance model by H.Markowitz and semi-variance model.It puts forward the multi-objective programming model based on semideviation risk-return,the supposed investment portfolio assets include three forms:stocks,bonds and cash.To introducle the concept of opportunity cost in the investment options is more suited to the actual investors in China,which is easy to operate,and provides a new approach and has the reference value to a certain extent.