考虑市场摩擦的投资组合技术效率评估方法及应用研究

发布时间：2018-02-16 20:08

本文关键词： 投资组合技术效率市场摩擦数据包络分析　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：在经典的经济学框架下，基于真实前沿面，给出了投资组合技术效率的明确定义。由于实际投资环境的影响，投资组合优化模型非常复杂，难以获得真实前沿面的解析解，这给投资组合技术效率的应用带来了很大的困难。本文基于投资组合理论，以风险为投入，以收益为产出，根据逼近原理，在投资组合模型所对应的前沿面为凹函数的情况下，建立基于数据的DEA模型评估投资组合的技术效率，并将此方法推广到考虑市场摩擦因素的投资组合技术效率评估上。本文考虑了三种市场摩擦因素：交易成本、交易量限制和保证金要求，其中交易成本包含线性交易成本、V型交易成本、分段线性交易成本三种凸交易成本，交易量限制包含上下界限制与总量限制两种情况，保证金要求则涉及了现金保证金和证券保证金两种情形。基于相应的投资组合优化模型，定义了考虑市场摩擦因素的投资组合技术效率，，在严格证明了其对应的生产可能集为凸集的基础上，提出了考虑市场摩擦因素的投资组合技术效率DEA评估方法。分别采用定义法（以真实前沿面为标杆）和DEA评估方法（以DEA有效前沿面为标杆）来评价考虑市场摩擦的投资组合技术效率，结果表明排序结果存在很强的相关性，这种相关性随着决策单元数量的增加而增大。这说明了采用基于数据的DEA方法评估考虑市场摩擦因素的投资组合技术效率的合理性与可行性。
[Abstract]:In the framework of classical economics, based on the real frontier, a clear definition of the technical efficiency of portfolio is given. Because of the influence of the actual investment environment, the portfolio optimization model is very complex, and it is difficult to obtain the analytical solution of the real frontier. In this paper, based on portfolio theory, risk is taken as input and income as output. According to approximation principle, the frontier of portfolio model is concave function. A data-based DEA model is established to evaluate the technical efficiency of portfolio, and this method is extended to the technical efficiency evaluation of portfolio considering market friction factors. In this paper, three kinds of market friction factors are considered: transaction cost, The transaction cost includes three convex transaction costs: linear transaction cost, V-type transaction cost and piecewise linear transaction cost. The margin requirement involves cash margin and securities margin. Based on the corresponding portfolio optimization model, the technical efficiency of portfolio considering market friction factors is defined. Based on the strict proof that the corresponding production potential set is a convex set, a DEA evaluation method for portfolio technical efficiency considering market friction factors is proposed. Definition method (real frontier as benchmark) and DEA evaluation method (DEA efficient frontier as benchmark) are used to evaluate the technical efficiency of portfolio considering market friction. The results show that the ranking results are highly correlated. This correlation increases with the increase of the number of decision making units, which indicates the rationality and feasibility of using the data-based DEA method to evaluate the technical efficiency of portfolio with market friction factors.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.9

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