基于成本

doi:10.12066/j.issn.1007-2861.1914

Journal of Shanghai University（Natural Science Edition） ›› 2019, Vol. 25 ›› Issue (1): 155-163.doi: 10.12066/j.issn.1007-2861.1914

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Investment portfolio model considering cost stickiness

CAI Yuxin¹^,², REN Yongping¹()

1. School of Management, Shanghai University, Shanghai 200444, China
2. School of Management, Fudan University, Shanghai 200433, China

Received:2017-03-14 Online:2019-02-28 Published:2019-02-26
Contact: REN Yongping E-mail:ypren@shu.edu.cn

Abstract

Abstract:

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.

Key words: cost stickiness mean variance (CSMV) model, cost stickiness mean absolute deviation (CSMAD) model, cost stickiness, empirical analysis

CLC Number:

F406.7

CAI Yuxin, REN Yongping. Investment portfolio model considering cost stickiness[J]. Journal of Shanghai University（Natural Science Edition）, 2019, 25(1): 155-163.

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References 11

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Investment portfolio model considering cost stickiness

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