摘要
本文将绝对离差风险测度模型与马科维兹均值方差模型进行比较研究,分析它们之间的关系及各自的优越性;通过引入两种模型的估计误差、两种模型估计错误的机会成本等概念,在小样本股票组合下,比较了两种风险测度模型的有效边界、两种风险测度模型产生估计误差的大小以及产生估计错误的机会成本大小等。研究结果表明,在不同的股票组合样本大小下,两模型的性质和各自的优势会有一定的差异。
We investigate the differences between Mean-Absolute Deviation model （MAD） and the Mean-Variance （MV） model in portfolio analysis. We find the efficient frontiers and calculate the estimation error and the opportunity cost of the estimation error for two models by using the historical data of small sample stocks. The empirical result shows that there are some differences between the two models under large sample stocks and small sample stocks.
出处
《南方经济》
北大核心
2006年第11期102-109,共8页
South China Journal of Economics
关键词
风险测度
绝对离差模型
均值方差模型
Risk Measurement
Mean Absolute Deviation Model
Mean-Variance Model
