对广义夏普准则应用问题的进一步研究

中国管理科学 ›› 2005, Vol. ›› Issue (5): 29-32.

对广义夏普准则应用问题的进一步研究

黄学庭

上海大学金融系, 上海, 201800

收稿日期:2005-01-10 修回日期:2005-08-05 出版日期:2005-10-28 发布日期:2012-03-07

A Further Study on the Use of the Generalized Sharpe Ratio

HUANG Xue-ting

Department of Finance, Shanghai University, Shanghai 201800, China

Received:2005-01-10 Revised:2005-08-05 Online:2005-10-28 Published:2012-03-07

摘要/Abstract

摘要： 广义夏普准则考虑了待选资产和现有投资组合之间的相关性,因而是一种更有效的投资决策准则。本文对广义夏普准则的具体应用进行了研究,讨论了一种待选资产是否值得投资的比例范围以及最佳投资水平的确定问题,得出了一些重要结论。本研究对基金管理人的投资决策具有指导意义。

关键词: 夏普比率, 广义夏普准则, 投资比例范围, 最佳投资水平

Abstract: The generalized Sharpe rule,considering the correlation between the prospective new asset and the existing protfolio held,is a more effective rule for investment decision-making.This paper analyzes the use of the generalized Sharpe rule further,discusses the range within which the prospective asset is worth acquiring,and the determination of optimal investment level,and obtains some important conclusions.This study has practical significance in guiding fund managers’ investment decision making.

Key words: Sharpe ratio, generalized Sharpe rule, investment proportion range, optimal level of investment

中图分类号:

F224

黄学庭. 对广义夏普准则应用问题的进一步研究[J]. 中国管理科学, 2005, (5): 29-32.

HUANG Xue-ting. A Further Study on the Use of the Generalized Sharpe Ratio[J]. Chinese Journal of Management Science, 2005, (5): 29-32.

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