Selection of Top Quality Portfolio under H-Value Rule
Chai Jun · Huadong Shifan Daxue xuebao. Ziran kexue ban · 2007
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.