| 绝对离差风险测度模型与均值方差模型的比较研究 |
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| 引用本文： | 温镇西,毕秋香. 绝对离差风险测度模型与均值方差模型的比较研究[J]. 南方经济, 2006, 8(11): 102-109 |
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| 作者姓名： | 温镇西 毕秋香 |
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| 作者单位： | 中山大学管理学院,广州,510275;广发证券股份公司,广州,510075 |
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| 基金项目： | 感谢匿名审稿人提出的宝贵意见,当然文责自负. |
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| 摘 要： | 本文将绝对离差风险测度模型与马科维兹均值方差模型进行比较研究。分析它们之间的关系及各自的优越性；通过引入两种模型的估计误差、两种模型估计错误的机会成本等概念．在小样本股票组合下，比较了两种风险测度模型的有效边界、两种风险测度模型产生估计误差的大小以及产生估计错误的机会成本大小等。研究结果表明，在不同的股票组合样本大小下．两模型的性质和各自的优势会有一定的差异。
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| 关 键 词： | 风险测度 绝对离差模型 均值方差模型 |
| 文章编号： | 1000-6249（2006）011-0102-008 |
Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model |
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| Zhenxi Wen,Qiuxiang Bi. Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model[J]. South China journal of Economy, 2006, 8(11): 102-109 |
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| Authors: | Zhenxi Wen Qiuxiang Bi |
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| Affiliation: | Zhenxi Wen Qiuxiang Bi |
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| Abstract: | We investigate the differences between Mean-Absolute Deviation model (MAD) and the Mean-Variance (MV) model in portfolio analysis. We find the efficient frontiers and calculate the estimation error and the opportunity cost of the estimation error for two models by using the historical data of small sample stocks. The empirical result shows that there are some differences between the two models under large sample stocks and small sample stocks. |
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| Keywords: | Risk Measurement Mean Absolute Deviation Model Mean-Variance Model |
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