论文部分内容阅读
分析了 Markowitz模型在实际应用中的不足之处 ,以 E- SV风险测度为基础提出了组合证券投资决策的效用函数 ,并建立了允许卖空条件下的投资决策最优化模型。该效用函数可以避免 Markowitz模型关于证券收益率的正态假设 ,以及投资者的风险厌恶假设。另外 ,提出的组合证券投资决策模型可以通过代数方法求解。对Markowitz模型和我们所提出的模型进行了比较分析 ,并结合案例分析 ,阐述了我们的决策模型在理论和实际应用中的有效性。
The shortcomings of Markowitz model in practical application are analyzed. Based on the E-SV risk measure, the utility function of portfolio investment decision is proposed and an investment decision optimization model under short sales is established. This utility function avoids the Markowitz model’s normal assumptions about the return on the stock and investors’ risk aversion assumptions. In addition, the proposed portfolio investment decision model can be solved algebraically. The Markowitz model and our proposed model are compared and analyzed. Combined with the case analysis, the validity of our decision model in theory and in practice is expounded.