| 夏普比率在投资组合管理中的应用 |
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| 引用本文： | 张健,刘嘉惠.夏普比率在投资组合管理中的应用[J].云南农业大学学报,2008,2(4):4-9. |
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| 作者姓名： | 张健 刘嘉惠 |
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| 作者单位： | 兰州商学院,甘肃兰州730020 |
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| 摘 要： | 讨论一种进行投资组合管理的方法。基于组合的分散投资原理，对DOWD（1999）的结论进行进一步的探讨，将改善组合的资产的数量由1个扩展到n个，并利用模拟数据验证一定条件下n的“最优”取值。
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| 关 键 词： | 资产组合管理 夏普比率 VaR |
The Use of Sharpe Ratio in Investment Portfolio Management |
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| ZHANG Jian,LIU Jia-hui.The Use of Sharpe Ratio in Investment Portfolio Management[J].Journal of Yunnan Agricultural University,2008,2(4):4-9. |
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| Authors: | ZHANG Jian LIU Jia-hui |
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| Institution: | ZHANG Jian,LIU Jia-hui(Lanzhou University of Finance , Economics,Lanzhou 730020,China) |
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| Abstract: | This paper discussed the use of Sharpe ratio in asset portfolio management.Based on the principle of diversified investment,further explorated DOWD(1999)'s conclusion,we expended the number of assets from 1 to n.At last,under certain condition,we used the simulated data and discussed the optimal n. |
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| Keywords: | asset portfolio management sharpe ratio VaR |
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