Portfolio Optimal and Empirical Analysis

摘要：

This paper examines that portfolio optimal is made by the maximum of the decay rate and empirical study its directive function for practical portfolio selection. Taking the closing prices in shanghai stock market, 37942 data in all, the empirical study proves that portfolio optimal by applying the decay rate is feasible under oversell condition. It rectifies the problem of skewness to a certain degree. Meantime, rationed proportion of individual stock plays an important role in portfolio.

关键词： Portfolio selection decay rate mean-variance model

作者: FENG Junlian CHEN Jianguang

作者单位: College of Management,Hunan University,Changsha,P.R.China,410082;Institute of Educational Science,Hu Institute of Educational Science,Hunan University,Changsha,P.R.China,410082

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 444-447

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）