DEA方法在投资组合中的应用

J4 ›› 2011, Vol. 46 ›› Issue (2): 82-88.

DEA方法在投资组合中的应用

崔玉泉¹,马立杰²,赵晶³,白金燕⁴

1.山东大学数学学院, 山东济南 250100; 2.山东师范大学数学学院, 山东济南 250104;
3.中国科学技术大学科技处, 安徽合肥 230026; 4.中国人民大学统计学院, 北京 100872

收稿日期:2010-09-15 出版日期:2011-02-16 发布日期:2011-03-30
作者简介:崔玉泉(1964- ),男,博士,教授,研究方向为运筹学、系统理论和数理经济学. Email:cuiyq@sdu.edu.cn
基金资助:
山东省自然科学基金资助项目(Y2007G08)

Application of DEA method on identifying a portfolio

CUI Yu-quan1, MA Li-jie2, ZHAO Jing3, BAI Jin-yan4

1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China;
2. School of Mathematics, Shandong Normal University, Jinan 250104, Shandong, China;
3. Division of Science and Technology, University of Science and Technology of China, Hefei 230026, Anhui, China;
4. School of Statistics, Renmin University of China, Beijing 100872, China

Received:2010-09-15 Online:2011-02-16 Published:2011-03-30

摘要/Abstract

摘要：

将证券的收益等量作为输出,证券的风险等量作为输入,用数据包络分析方法给出了有效证券的判定,进一步给出确定这些有效证券的最优投资组合方法及如何确定不同时间段的证券最优投资组合方式。

关键词: 投资组合;收益率;风险;数据包络分析;相对有效性

Abstract:

Data envelopment analysis is introduced into the field of investment, some results on how to identify efficient securities by DEA with the security return representing outputs and security risk representing inputs are obtained. A new DEA model is proposed to obtain the optimal portfolio and an algorithm for this model is given.

Key words: portfolio; return; risk; data envelopment analysis; relative efficiency

崔玉泉1,马立杰2,赵晶3,白金燕4. DEA方法在投资组合中的应用[J]. J4, 2011, 46(2): 82-88.

CUI Yu-quan1, MA Li-jie2, ZHAO Jing3, BAI Jin-yan4. Application of DEA method on identifying a portfolio[J]. J4, 2011, 46(2): 82-88.

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