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Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (2): 6-11.

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A Study of Portfolio Index Based on Inverse Return Loss

TSAI Hsien-tang1, DAY Jen-der2, XU Wei-xuan3   

  1. 1. Department of Business Management, Sun Yat-sen University, Kaohsiung 80204, Taiwan;
    2. Department of Industrial Engineering and Management, Kaohsiung University of Applied Sciences, Kaohsiun 80204, Taiwan;
    3. Institute of Policy & Management, Chinese Academy of Sciences, P1O1 Box 8712, Beijing 100080, China
  • Received:2001-03-09 Revised:2001-10-12 Online:2002-04-28 Published:2012-03-06

Abstract: An efficiency frontier generated by Markowitz mean-variance portfolio model normally has high return high risk characteristic.Based on a loss function of inverse return,a portfolio index called IR,which well tradeoffs return with risk,is proposed to evaluate the portfolios in efficiency frontier.Empirically,the usefulness of IR index is confirmed,however,the"coefficient of variance"is impropriated.

Key words: mean-variance portfolio model, efficiency frontier, loss function, coefficient of variance

CLC Number: