半绝对离差证券组合投资模型

半绝对离差证券组合投资模型 Portfolio Model with Semi-Deviation Risk Measure 徐绪松 XU Xu-song 1 2 first-author 杨小青 YANG Xiao-qing 1 2 陈彦斌 CHEN Yan-bin 1 2 武汉大学商学院技术经济及管理研究所 武汉大学商学院技术经济及管理研究所 Institutie of Technology Economics and Manegement, Business School, Wuhan University Institutie of Technology Economics and Manegement, Business School, Wuhan University 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 武汉大学商学院技术经济及管理研究所,湖北,武汉,430072 提出“半绝对离差”这一新的风险度量工具,并与证券收益率的半方差、绝对离差进行比较,给出了基于半绝对离差的证券组合投资模型.该模型采用半绝对离差作为风险的度量工具,综合了半方差的向下风险和绝对离差的一阶矩存在的优点.利用“上证30指数”中的30种成分股票作为样本对该模型进行实证研究,结果表明,在与Markowitz模型和绝对离差模型的定性、定量比较中,半绝对离差模型能求解出更优的投资组合,是一种更有效的组合投资模型. We propose a new risk measure, which is called Semi-Deviation. This new measure is superior to the exist measures,such as semi-variance and absolute-deviation etc,because it only focuses on the risk that less than the expected return,and using this measure doesn’t need to consider whether the variance of asset retuens is existent. Based on this new measure, we also setup the portfolio optimization model which integrates the advantage of downside risk of semi-variance and the existence of first rank moment. In the empirical study,we apply the new model to Shanghai stock market,and compare the new model with the semi-variance model and the absolute-deviation model in quantitative and qualitative way. It can be drawn from comparison with the other two portfolio models that the semi-deviation portfolio model is better and practical. 半绝对离差 风险度量工具 组合投资模型 风险弹性 实证研究 semi-deviation risk measure portfolio model risk flexibility empirical study F224.9 国家教育部博士点基金资助项目（01JB630009） 2002-03-01 2021-04-01 3