交易成本均值-半绝对偏差模型的鲁棒优化策略

摘要

在均值—半绝对偏差模型基础上，提出了交易成本均值—半绝对偏差模型、鲁棒交易成本均值—半绝对偏差模型，并在基金市场进行实证分析，结果表明：交易成本均值—半绝对偏差模型能较好地反映资本市场实际情况，鲁棒交易成本均值—半绝对偏差模型绩效优于交易成本均值—半绝对偏差模型，并且对提升投资组合绩效也是有效的。%Based on the model of mean-semi absolute deviation,the transaction cost mean-semi absolute devia-tion model and robust transaction cost mean-semi absolute deviation model were put forward,and the empirical analysis was done in the fund market. The results show that transaction cost mean-semi absolute deviation model can better reflect the actual situation of the capital markets,the performance of robust transaction cost mean-semi absolute deviation model is better than transaction cost mean-semi absolute deviation mode,and it is also effective to improve portfolio performance.