中国股票市场卖空约束研究.pdfVIP

中国股票市场卖空约束研究 中国股票市场卖空约束研究 1 2 李军农, 陈彦斌 ( 1 武汉大学 商学院, 湖北 武汉 430072; 2 中国人民大学 经济学院, 北京 100872) : 文的目标是研究中国股票市场中卖空约束对投资效率的影响方差风险和允许卖空是Markowitz 均 值- 方差投资组合选择模型的两 个基 假定,但不符合中国股票市场的实际情况 文建立了基于各种风险 度量工具( 方差绝对离差和半方差) 具有卖空约束的投资组合选择模型,并使用Matlab 优化工具箱求解 文使用投资组合的Sharpe 率的增长率来刻画投资组合的效率结论是如果中国股票市场取消卖空约束, 投资 者可以显著改进投资效率 : 投资组合选择;风险度量; 卖空约束;股票市场 : F222 : : 2004 Study on Short Sales Constraints in China Stock Market 1 2 LI Jun- nong , CHEN Yan- bin ( 1. School of B usiness, W uhan Univ er sity , W uhan 430072, Ch ina; 2. School of Econom ics , R enmin Univ ersity of Ch ina, B eij ing 100872, China) Abstract:In this paper, the authors show that investors can get more return when short sales constraints are can celled. It is testednot only for mean- variance investors but also for mean- M D (mean absolute deviation) investors and mean- semi- variance investors. The authors employ Matlab optimization toolbox to solve complex portfolio choice problems. The change ratio of Sharpe ratio is used to describe the shift from the frontier with short sales con straints to thefrontier without short sales constraints. The test suggests that the short sales constraintsshould be can celled in China stock market. Key words : portfolio choice; risk measure; short sales constraints; stock market [2] [3] ( 1999) ( 1999) , 20 90 , Leroy , [4] Werner (2001) , : , , , , , ,