Research Article
Optimization of Portfolio Theory under the Constraint of Mean-Skewness Standardization Empirical Research Based on China's Securities Market
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327151, author={Xiaoyu Zhou and Qiong Liu and Depeng Zhang}, title={Optimization of Portfolio Theory under the Constraint of Mean-Skewness Standardization Empirical Research Based on China's Securities Market}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={component; portfolio; skewness; chinese securities market; activity}, doi={10.4108/eai.18-11-2022.2327151} }- Xiaoyu Zhou
Qiong Liu
Depeng Zhang
Year: 2023
Optimization of Portfolio Theory under the Constraint of Mean-Skewness Standardization Empirical Research Based on China's Securities Market
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327151
Abstract
This paper introduces the concept of skewness on the basis of the traditional mean-variance (MV) optimization model, and expands the two-dimensional optimization research into a three-dimensional mean-variance-skewness (MVS) optimization model. At the same time, under the more realistic assumption that the rate of return obeys a partial normal distribution, the Sharpe ratio is improved, and the active ratio is introduced to measure the performance of market portfolio risk-adjusted returns. On this basis, this paper analyzes the data of China's securities market and proves that the risk-adjusted return of China's securities market has a large degree of skew, and even affects the choice of investors' assets, which has a strong theoretical value for investors' asset allocation.