υ1共°×郾榆翘夏ㄆ示共花寥谜廖莲JPoD.PDFVIP

38 3 Vol.38, No.3 2018 3 Systems Engineering — Theory Practice Mar., 2018 doi: 10.12011/1000-6788(2018)03-0556-09 : F83 : A 1 2 2 , , (1. , 100875; 2. , 100875) (joint probability of default, JP oD) . JP oD , , JP oD JP oD , , . 2014–2015 JP oD ; Æ - , , JP oD . ; ; ; The portfolio optimization method based on joint probability of default 1 2 2 LI Handong , ZHANG Yin , ZHANG Rui (1. School of Systems Science, Beijing Normal University, Beijing 100875, China; 2. School of Government, Beijing Normal University, Beijing 100875, China) Abstract Joint probability of default (JP oD) is an efficient measure for systematic risk. Based on JP oD analysis, this paper puts forth a new optimization method to choose asset portfolios, in other words, to get a portfolio with the minimum system risk by calculating the JPoDs of every two stocks in the stock pool and forming a JP oD matrix based on which this paper finds out the best choice after traversing successively. The empirical analysis firstly verifies the validity of JP oD method using the trading data of Shanghai Composite Index and Shenzhen Composite Index from 2014 to 2015. In addition, this paper makes a comparison among the new optimization method, Markowitz mean-variance theory and random choice, using both Chinese and USA stock market data. The results show that no matter in