Portfolio selection model for securities investment funds
Wen Wang · Journal of systems engineering · 2003
In this paper, based on the Markowitz's portfolio investment model, under the expection_semivariance risk measure, some studies pointing to portfolio optimization are made. A modified Γ_distribution is put forward to describe the yield of stock, and a method for determining the parameters is presented. According to the material case of securities investment funds in China, a new model of portfolio investment is developed, providing a way for institution investors such as securities investment funds to account for great decision_making of securities investment.Key works: securities investment funds; portfolio; expection_semivariance; modified Γ_distribution; transaction cost