大连理工大学学报2016，Vol.56Issue(4)：420-426,7.DOI:10.7511/dllgxb201604014
几种最优投资组合在有效边界上相对位置
Relative location of optimal portfolios on efficient frontier
摘要
Abstract
The validities of the optimal solutions of reward-risk portfolio optimization models are discussed,such as mean-VaR model,mean-AVaR model,mean-variance ratio model,etc..It is proved that based on Markowitz mean-variance model and efficient frontier theory,if the optimal portfolios exist,they must be located on the efficient frontier of mean-variance.The mean and standard deviation of these models' optimal solutions are calculated.According to the calculated results, the relative location of the optimal portfolios on the efficient frontier is discussed. Particularly,the location of mean-VaR model's optimal portfolio on the efficient frontier varies with confidence levels.关键词
投资组合优化模型/最优投资组合/有效边界Key words
portfolio optimization model/optimal portfolio/efficient frontier分类
数理科学引用本文复制引用
周伊佳,于波..几种最优投资组合在有效边界上相对位置[J].大连理工大学学报,2016,56(4):420-426,7.基金项目
国家自然科学基金资助项目(11171051,重大计划91230103) （11171051,重大计划91230103）
中央高校基本科研业务费专项资金资助项目(DUT15RC(3)037) （DUT15RC(3）
