Study of Investment Portfolio Management Optimization Model Based on Semi-Deviation Risk-Return
Lin Hai Xu · Zhongguo guanli kexue · 2008
On the basis of the investment portfolio management theoretical analysis,this paper adopts the semi-deviation method to calculate the risk-return of portfolio investment,overcoming the deficiency of mean-variance model by H.Markowitz and semi-variance model.It puts forward the multi-objective programming model based on semideviation risk-return,the supposed investment portfolio assets include three forms:stocks,bonds and cash.To introducle the concept of opportunity cost in the investment options is more suited to the actual investors in China,which is easy to operate,and provides a new approach and has the reference value to a certain extent.