摘要
在投资过程中,风险和收益之间存在着一种权衡,这种权衡是根据投资者风险偏好的不同而不同,这就要求我们在构建投资组合时应该充分考虑投资者的风险偏好从而达到投资效用最大化。本文通过建立均值—最大熵优化模型,将风险因子引入所构建的投资组合模型中,通过调整风险因子,得到符合投资者风险偏好的投资组合,并通过汇添富消费混合基金的实证研究,验证了该投资组合效绩明显优于市场组合及样本组合。
In the process of investment,there is a trade-off between risk and return.This trade-off varies according to investor's risk preferences,which requires that we should fully consider investor's risk preferences in the construction of portfolio so as to maximize the utility of investment.By establishing the mean-maximum entropy optimization model and introducing the risk factors into the portfolio model,this paper adjusts the risk factors to get the portfolio that meets the investor's risk preferences.The empirical study of the mixed fund of Huitian Rich Consumption verifies that the performance of the portfolio is obviously better than that of the market portfolio and sample portfolio.
作者
孙多好
吴芳
刘刚
吴晓明
张玥
SUN Duo-hao;WU Fang;LIU Gang;WU Xiao-ming;ZHANG Yue(School of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China)
出处
《价值工程》
2019年第30期265-268,共4页
Value Engineering
基金
安徽省大学生创新创业训练计划项目(201710363001)
安徽工程大学校级教学质量提升计划项目(2018jyxm68)
关键词
风险
投资组合
均值-最大熵优化模型
risk
portfolio investment
mean-maximum entropy optimization model
