摘要
本文给出了基于历史收益率数据的均值 -平均绝对离差型证券组合投资模型 .该模型采用收益的平均绝对离差作为风险的尺度 ,可以通过求解线性规划来获的摩擦市场 (如具有税收和交易费 )最优投资组合 ,避免了均值 -方差模型求解二次规划的复杂性 .
This paper provides a mean absolute deviation protfolio selection model on account of return data, the model uses mean absolute deviation as measure of the risk and gains a optimal portfolio in possesing taxes and transaction costs by solving the linear programming. It avoided to solve the qudadratic programming problem of mean varianve molde.
出处
《经济数学》
2003年第2期21-26,共6页
Journal of Quantitative Economics
