| 考虑市场摩擦的分形投资组合模型 |
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| 引用本文： | 陈盛双,王玉霞,冷凯君.考虑市场摩擦的分形投资组合模型[J].武汉理工大学学报(信息与管理工程版),2006,28(2):111-113. |
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| 作者姓名： | 陈盛双 王玉霞 冷凯君 |
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| 作者单位： | 武汉理工大学,理学院,湖北,武汉,430070 |
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| 摘 要： | 传统的金融经济学认为证券收益率服从正态分布或对数正态分布,而大量的实证表明收益率分布与正态分布相比有“尖峰厚尾”特征,具有分形结构。正态分布、方差都具有很好的性质,却不能很好地描述投资组合的收益与风险。基于分形分布用改进的下方风险法(LPM)度量投资组合的风险,构造了考虑市场摩擦的投资组合模型。
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| 关 键 词： | 分形分布 市场摩擦 下方风险 |
| 文章编号： | 1007-144X（2006）02-0011-03 |
| 收稿时间： | 2005-09-07 |
| 修稿时间： | 2005年9月7日 |
Fractal Portfolio Selection Model with Market Friction |
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| Chen Shengshuang,Wang Yuxia,Leng Kaijun.Fractal Portfolio Selection Model with Market Friction[J].Journal of Wuhan University of Technology(Information & Management Engineering),2006,28(2):111-113. |
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| Authors: | Chen Shengshuang Wang Yuxia Leng Kaijun |
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| Affiliation: | School of Science, WUT, Wuhan 430070, China |
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| Abstract: | Traditional financial economics always thinks that the securities return rate obeys normal distribution.However,lots of empirical research indicates that it has a fat tail compared with normal distribution and obeys fractal distribution.Normal distribution and deviation are easier to calculate,but they are not fit to describe the securities return and risk.So a portfolio selection model based on fractal distribution with market friction is established by using the improved LPM method. |
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| Keywords: | fractal distribution market friction downside risk |
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