H值意义下优良证券组合的筛选

华东师范大学学报(自然科学版) ›› 2007, Vol. 2007 ›› Issue (5): 92-97.

H值意义下优良证券组合的筛选

梁亦孔¹，柴俊²

1.上海工程技术大学基础学院，上海 201600； 2.华东师范大学数学系，上海 200062

收稿日期:2006-09-15 修回日期:2007-01-22 出版日期:2007-09-25 发布日期:2007-09-25
通讯作者: 柴俊

Selection of Top Quality Portfolio under H-Value Rule(Chinese)

LIANG Yi-kong¹， CHAI Jun²

1. College of Fundamental Studies, Shanghai University of Engineer Science, Shanghai 20016, China;2. Department of Mathematics, East China Normal University, Shanghai 200062, China

Received:2006-09-15 Revised:2007-01-22 Online:2007-09-25 Published:2007-09-25
Contact: CHAI Jun

摘要/Abstract

摘要： 研究如何从证券市场上的众多证券中筛选出“好”的若干种证券进行组合投资.首先，在允许卖空的情况下，第一次给出了评价证券组合优劣的H值准则，然后在H值意义下进行优良证券组合的筛选. 其次, 引入市场指数模型, 得到市场指数模型下H值的简化定理, 使筛选工作成为可能.

关键词: H值, 证券组合, 市场指数模型, 均值方差模型 , H值, 证券组合, 市场指数模型, 均值方差模型

Abstract: This paper studied how to select several top quality stocks from thousands of stocks in the security market to get a better portfolio.Firstly,H-value rule which can evaluate quality of portfolio was given under the condition of permitting shortsailing for the first time. Then,how to select the better portfolio under H-value rule was studied.Secondly,A simplified theorem of H-value was introduced under the market index model. It showed the efficiency of the selection.

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Key words: portfolio, market index model, Meanvariance model, H-value, portfolio, market index model, Meanvariance model

中图分类号:

F224.0

梁亦孔;柴俊 . H值意义下优良证券组合的筛选[J]. 华东师范大学学报(自然科学版), 2007, 2007(5): 92-97.

LIANG Yi-kong;CHAI Jun. Selection of Top Quality Portfolio under H-Value Rule(Chinese)[J]. Journal of East China Normal University(Natural Sc, 2007, 2007(5): 92-97.