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Journal of Shanghai University >

2019 , Vol. 25 >Issue 1: 155 - 163

DOI: https://doi.org/10.12066/j.issn.1007-2861.1914

Research Articles

Investment portfolio model considering cost stickiness

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

Received date: 2017-03-14

  Online published: 2019-02-26

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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

Cite this article

CAI Yuxin, REN Yongping . Investment portfolio model considering cost stickiness[J]. Journal of Shanghai University, 2019 , 25(1) : 155 -163 . DOI: 10.12066/j.issn.1007-2861.1914

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