基于DEA模型的投资组合优化实证分析

2008 International Seminar on Future Information Technology and Management Engineering Pub Date : 2008-11-20 DOI:10.1109/FITME.2008.129

Jinchuan Ke, Jiao Qiao, Guang-chao Wang

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引用次数: 3

摘要

资产评估过程是投资决策的前提，直接影响资产配置，在投资组合优化中起着重要的作用。本文提出了一种基于数据包络分析(DEA)模型的股票投资组合优化评价分析。考虑投资组合收益与风险之间的关系，建立了有效的DEA模型和相应的评价标准。本文选取中国a股市场五大行业的27只股票进行实证分析，并对基本DEA模型和权限DEA模型进行了比较分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Empirical Analysis of Portfolio Optimization Based on DEA Model

The asset evaluation process plays an important role in portfolio optimization because it is the prerequisite for investment decision making and directly influences on the asset allocation. This paper presents an evaluation analysis of stock investment for portfolio optimization based on data envelopment analysis (DEA) model. Considering the relationship between portfolio return and risk, the efficient DEA models and relative evaluation criteria are established. The empirical analysis is conducted on twenty-seven stocks selected from five industrial sectors of China A-share stock market, and a comparative analysis is extended for the fundamental and weight-restricted DEA models.

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2008 International Seminar on Future Information Technology and Management Engineering

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