一种多目标规划的投资组合优化方法的实证分析.doc

 一种多目标规划的投资组合优化方法的实证分析 报告要点： 本文选择A股市场4个不同规模的股票作为研究对象，分别定 义为小盘股、中盘股票、大盘股票、超大盘股票 本文选择小盘价值、上证中盘、中证100、超大盘作为对应基 准标准进行研究。 本文研究投资组合中发现不同规模股票的投资组合效率更高。 这表明不同规模股票的运行对大盘的影响较大。 在投资组合数量8-33之间的投资组合相对收益小于绝对收益。 不同规模的投资组合的风险与收益成正比。 作者：徐清振 电话：0755e-mail: xqz1997@163.com 报告编号：2011065 完成时间：2010-9-07 独立声明：本报告所采用的信息及数据均来源于公开可得到的资料。  目 录 Abstract I 1. Introduction 1 2. The single objective problem 3 3. The multi objective problem 4 4. The empirical analysis of the portfolio in China’s stock market 7 5. Conclusion 13 References 13  Abstract This paper describes a necessary condition for Pareto optimality. It is derived by reducing the multi objective programming under inclusion constraints to systems of single objective problem and then using known results of them. We use the portfolio model for Chinas securities market. In order to exceed Shanghai Composite Index, we select some stocks of china market for portfolio. All the data are publicly from stock exchange of Shenzhen or Shanghai. A comprehensive analysis of the results is provided. The result is reasonable and efficient. It is clarified that the nonlinear program model can analyze the entire possible portfolio case. Keywords: multi objective (single objective) programming; inclusion constraints; optimality condition; Portfolio optimization Introduction Many researchers devote to study more efficient and practical portfolio strategy, especially for stock market invests. In this section, we survey some of this work. Generally speaking, these approaches can be divided into two parts: new method and traditional method with development. Qingzhen Xu（, et al, 2007）focuses on a M/G/1 queue system with multiple vacations and server close-down time. He solve the probability generating function (P.G.F.) of stationary queue length and LST of waiting time. Qingzhen Xu（, et al, 2011） develop a Genetic Algorithms to forecast American Shares Price Index. They can forecast DJI trend that can improve portfolio achievem