| 开放式投资基金稳健投资模式的实证研究 |
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| 引用本文： | 徐丽梅,吴光伟. 开放式投资基金稳健投资模式的实证研究[J]. 山西财经大学学报, 2007, 29(3): 105-109 |
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| 作者姓名： | 徐丽梅 吴光伟 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200092 |
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| 摘 要： | 在马柯维茨均值—方差模型的基础上,引入了流动性因素和稳健因子,综合考虑了收益、风险和流动性等因素对投资组合的影响,探索了稳健型投资模式的构建方式,并利用股市数据进行了实证分析。
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| 关 键 词： | 稳健因子 二次规划 变异系数 |
| 文章编号： | 1007-9556(2007)03-0105-05 |
| 修稿时间： | 2007-02-01 |
An Empirical Analysis of the Conservative Investment Mode of Open-Ended Fund |
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| XU Li-mei,WU Guang-wei. An Empirical Analysis of the Conservative Investment Mode of Open-Ended Fund[J]. Journal of Shanxi Finance and Economics University, 2007, 29(3): 105-109 |
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| Authors: | XU Li-mei WU Guang-wei |
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| Abstract: | As an investment mode,conservative investment style had been only limited to some theoretical aspects all through.On the basis of Markowitz's "mean-variance" model,this paper adds the factor of "liquidity",explores the construction of conservative investment model,and does the empirical study finally.The study establishes a two-dimensional and three-dimensional available boundary of portfolio,and reaches a conclusion that the three-dimensional portfolio model possesses some advantages in the investment practice. |
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| Keywords: | conservatism factor quadratic programming coefficient of variation |
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