Journal of East China Normal University(Natural Sc ›› 2007, Vol. 2007 ›› Issue (5): 92-97.

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

LIANG Yi-kong1， CHAI Jun2   

  1. 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

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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.

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

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