基于实例的均值–方差和均值–下半方差投资组合模型对比分析——以股票资产和银行活期存款为例

Comparative Analysis of Mean Variance Portfolio Model and Mean Downside Semi Variance Portfolio Model Based on Actual Data—A Case Study of Chinese Stocks and Bank Deposits

摘要: 均值–下半方差的投资组合模型是Markowitz经典均值–方差模型的推广，下半方差更能刻画投资风险。本文选取中国大陆证券公司的四只股票和中国银行活期存款的实际数据，基于非线性规划的迭代算法，分别对均值–方差模型和均值–下半方差模型求解，结果表明两个模型对约束条件的选择敏感，相同约束条件下，均值–下半方差模型的组合方案较优。

Abstract: The mean downside semi-variance portfolio model is an extension of Markowitz’s classical mean-variance model, and the downside semi-variance can better describe investment risk. This paper selects the actual data of four stocks of listed companies in Chinese Mainland and current deposits of the Bank of China. Based on the iterative algorithm of nonlinear programming, the mean variance model and the mean downside semi-variance model are solved respectively. The results show that the two models are sensitive to the selection of constraint conditions. Under the same constraint conditions, the combination scheme of the mean downside semi-variance model is better.