Markowitz模型的两种改进和实证分析.pdfVIP

摘 要 投资组合理论中，Markowitz把证券收益率的方差作为证券收益风险的度量，投 资者在选择证券组合时．考虑证券组合的收益率，同时兼顾证券组合的风险。但 在实际投资中，收益期望ui用证券i过去的收益均值来代替，对于那些人为操纵 的证券不能排除在投资组合之外。因此，仅用方差来代表证券的风险有其局限性。 本文定义一个新的统计量Mr，应用这个统计量的良好性质对Markowitz模型加 以改进，实证分析表明，改进的模型可以减少那些人为操纵的证券的在投资组合 中所占的份额。 关键字：Mr有效子集Markowitz模型期望换手率风险主成分分析 ABSTRACT The whichwasadvancedMarkowitzin1952isthe PortfolioSelecfion Theory by financeeconomics．Inhis thevariance start ofmodern theory,Markowitz point regards return securities’return．Whellinvestors of asthe of select take risk portfolios．they of intoaccount．Butthe returnis thereturnsandrisks of both portfolios expectation of whichare the thosesecurities controlled replaced return,so by by averagesecurity arenotexcludedfrom ithassome asmall localization group people portfolios．So by with return’S the variance SOlyethis securities’risk replacing only．To question．I a Mrand its characterb definenewstatistical applygood mendMarkowitz thell into thattheshareofsecuritiesare model，and them which put practice．itproves