考虑交易成本的均值–方差模型的云南特色股票研究

A Study of Yunnan Characteristic Stocks with the Mean-Variance Model Considering Transaction Costs

摘要: 利用均值–方差模型对云铝股份、太平洋、昆药集团、南天信息、沃森生物、云南旅游、云天化、我爱我家这八支具有代表性的云南特色股票构成一个投资组合。股票在2019年9月9日至2020年12月31日的日收盘价作为样本数据。借助MATLAB软件，分别计算出每支股票收益率的均值、标准差、方差和协方差矩阵，利用拉格朗日乘数法求解模型，得出传统Markowitz均值–方差模型的最优投资组合解，基于投资现实再引入交易成本和静态的资本结构因子，将传统的均值–方差模型进一步优化，得出选取的八支云南特色股票最优投资组合方案。

Abstract: The mean-variance model is used to form a portfolio of eight representative Yunnan characteristic stocks, namely Yunnan Aluminium, the Pacific Securities, KPC Pharmaceuticals, Yunnan Nantian Electronics Information, Walvax Biotechnology, Yunnan Tourism, Yunnan Yuntianhua and 5i5j Holding Group. The daily closing price of the stock on September 9, 2019 at solstice on December 31, 2020 is used as sample data. With the help of MATLAB software, the mean value, standard deviation, variance and covariance matrix of each stock’s return rate are respectively calculated. Lagrange multiplier method is used to solve the model, and the optimal portfolio solution of the traditional Markowitz mean-variance model is obtained. Based on the investment reality, transaction costs and static capital structure factors are introduced. The traditional mean-variance model is further optimized to obtain the optimal portfolio scheme of the selected eight Yunnan characteristic stocks.