| 半绝对偏差投资组合模型构建及其应用 |
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| 引用本文： | 印凡成,周淳,黄健元.半绝对偏差投资组合模型构建及其应用[J].经济数学,2010,27(2):57-61. |
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| 作者姓名： | 印凡成 周淳 黄健元 |
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| 作者单位： | 1. 河海大学,理学院,江苏,南京,210098
2. 河海大学,公共管理学院,江苏,南京,210098 |
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| 摘 要： | 通过对模糊隶属函数以及基金投资组合基本模型的适当变形,构建了带交易费及流动性约束的极大极小-半绝对偏差投资组合模型.选取5支证券,依据2008年全年的数据作为样本数据,按投资者的不同偏好得出不同的最优投资策略,并对几种情形进行了对比,结果显示此模型能很好地反映出投资者的主观意愿,具有很好的灵活性.
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| 关 键 词： | 模糊决策 极大极小-半绝对偏差 投资组合模型 |
The Construction and Application of Semi absolute Deviation Portfolio Models |
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| YIN Fan cheng,ZHOU Chun and HUANG Jian yuan.The Construction and Application of Semi absolute Deviation Portfolio Models[J].Mathematics in Economics,2010,27(2):57-61. |
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| Authors: | YIN Fan cheng ZHOU Chun and HUANG Jian yuan |
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| Institution: | 1.School of Science,Hohai university,NanJing,Jiangshu 210098,China;2.Shool of Public Administration,Hohai university,NanJing,Jiangshu 210098,China) |
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| Abstract: | Through the appropriate transformation of fuzzy membership function and the basic fund portfolio Model,and considering the transaction costs and liquidity constraints,a Minimax-Semi-absolute Deviation portfolio model was given.Selecting five securities＇s whole years＇data of 2008 as the sample data,and according to the different preferences of investors,the optimal investment strategies of the model were solved,and several cases were compared.The results show that this model can reflect the subjective views of the investors and has good flexibility. |
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| Keywords: | fuzzy decision Minimax-Semi-absolute Deviation Portfolio Models |
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