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本文在Dentcheva&Ruszczynski(2006)的基于随机占优约束的投资组合模型的基础上,加入交易费用、整数手等市场摩擦因数对该模型进行了改进,并利用中国证券市场的实际数据对其进行了验证;最后在已有的实证分析的基础上,采用对数据进行动态跟踪的方法对考虑市场摩擦因数前后的模型又分别做了实证分析和比较,验证了该模型的合理性和有效性。
Based on Dentcheva & Ruszczynski’s (2006) stochastic dominance-based portfolio model, this paper improves the model by adding the market friction factor such as transaction cost and integer hand, and verifies it by using the actual data of Chinese stock market Finally, based on the existing empirical analysis, the dynamic tracking of data is used to analyze and compare the models before and after considering the market friction factor respectively. The results show the rationality and effectiveness of the model.