CAJ | 학술논문

本文研究5类代表性的投资组合模型：方差、绝对偏差、LPM模型、极大极小模型以及最大绝对偏差模型，讨论不同的风险度量模型是否真的会造成资产配置的效果不同。区别于传统的从风险和收益的角度进行比较，本文研究5个风险模型得到的最优策略结构，通过权重和重叠的资产数目来探讨不同模型间的相似程度。实证结果发现，不同的风险度量模型会对投资组合的构成造成非常显著的影响。这些结果对投资者或基金经理进行投资实践具有非常重要的意义，因为传统看法普遍认为模型的选择取决于投资者对风险的态度，而不是从模型本身的理论或实践价值来选择模型。
본문연구5류대표성적투자조합모형：방차、절대편차、LPM모형、겁대겁소모형이급최대절대편차모형，토론불동적풍험도량모형시부진적회조성자산배치적효과불동。구별우전통적종풍험화수익적각도진행비교，본문연구5개풍험모형득도적최우책략결구，통과권중화중첩적자산수목래탐토불동모형간적상사정도。실증결과발현，불동적풍험도량모형회대투자조합적구성조성비상현저적영향。저사결과대투자자혹기금경리진행투자실천구유비상중요적의의，인위전통간법보편인위모형적선택취결우투자자대풍험적태도，이불시종모형본신적이론혹실천개치래선택모형。
In this paper, we study five important risk models in portfolio man- agement. The models are mean-variance model, mean absolute deviation model, LPM model, minimax model and maximum absolute deviation model. Compared with current study which focuses on the trade off of return and risk in the portfolio, we try to study the strategies proposed by these five models. That how many assets and how much weight are the same in the optimal strategy is researched in the pa- per. The result shows that different risk measure leads to different optimal strate- gy, which is very important to the investors and funding managers who always think that the risk attitude of the customers is the most important in the portfolio management.