Research on Portfolio Investment Model Under the E-Sh Risk Measure
Xi Zhang · Systems Engineering - Theory & Practice · 2000
Markowitz introduces the variance of marketable security's revenue rate as the investment risk measure, and constructs portfolio investment model to perform the selection procedure of an optimal portfolio. This paper analyses the shortcomings of Markowitz model, provides the risk goal function for the optimal portfolio selection, and constructs portfolio investment decision model. The paper also presents the solution of optimization model and the determination method of the portfolio efficient frontier. In the end, the paper elaborates the effectiveness of the risk goal function and the optimization model in the application research with a practical example.