Investment portfolio model considering cost stickiness
Received date: 2017-03-14
Online published: 2019-02-26
均值-方差 (mean variance, MV) 模型及均值-绝对偏差 (mean absolute deviation, MAD) 模型均为早期经典的投资组合模型. 在这 2 类模型的基础上, 考虑上市公司的成本"粘性"特征, 建立了适合现代投资理论的成本"粘性"下的均值-方差 (cost stickiness MV, CSMV) 投资组合模型及成本"粘性"下的均值-绝对偏差 (cost stickiness MAD, CSMAD) 模型. 以中国综合 A 股市场 2004---2015 年各资产的年、月平均收益率为测试样本及 2006---2015 年 各资产的年、月平均收益率为检验样本的实证分析表明, 成本"粘性"下的均值-方差投资组合模型比传统的均值-方差投资组合模型的收益率表现更好, 成本"粘性"下的均值-绝对偏差模型明显优于均值-绝对偏差模型的收益率表现.
蔡宇欣, 任永平 . 基于成本"粘性"下的投资组合模型[J]. 上海大学学报(自然科学版), 2019 , 25(1) : 155 -163 . DOI: 10.12066/j.issn.1007-2861.1914
The mean variance (MV) model and the mean absolute deviation (MAD) model are early classic portfolio models. Using the modern investment theory, this paper studies these two models by considering cost stickiness. Using the average annual and monthly income rates of the Chinese integrated stock market in the period of 2004---2015 as test samples, and the income rates in 2006---2015 as check samples, an empirical analysis shows that the profit of cost stickiness MV (CSMV) model is better than the MV model, and the profit of cost stickiness MAD (CSMAD) model is also better than the MAD model.
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