对常规的最优化模型增加了对股票投资比例最低值的限定,得到新型的最优化模型,解决了现货组合中可能出现的某些股票投资比例过低的问题。跟踪现货指数的实证表明,新型最优化模型的跟踪效果优于常规最优化模型;同时,股指期货期现套利的实证也表明,新型最优化模型的套利收益率也高于常规最优化模型的套利收益率。 It adds a limit to the lowest proportion of stock investment ratio to the conventional optimization model and gets a new optimization model to solve the problem that the proportion of some stocks that may appear in stock portfolio is too low. The empirical evidence tracking the stock index shows that the tracking effect of the new optimization model is superior to the conventional optimization model. At the same time, the positive arbitrage of stock index futures also shows that the arbitrage yield of the new optimization model is also higher than that of the conventional optimization model rate of return.