关键词: 多阶段投资组合, 分散化模型, 绩效评价, 投资组合效率

Abstract: The existing multi-period portfolio diversification performance evaluation models are mainly divided into two categories. The first category is to build a performance evaluation model based on the return rate of portfolio at each period. The other category is to evaluate portfolio performance by using efficient frontier. However, the former ignores the dynamic relationship among the time periods, while the latter has limitations when there exists friction in financial market. To address this problem, the actual investment of the input-output process was clarified and defined, and the definition of multi-period portfolio efficiency were given based on the distance between portfolio under evaluation and its projection point on the efficient frontier. Under the multi-period mean-variance theoretical framework, the middle connection condition in the multi-period portfolio evaluation problem was derived by using the wealth dynamic process, so as to build a two-period portfolio efficiency estimation model under different orientation. Since the above-mentioned middle connection condition is random, it not workable in actual evaluation. Therefore, in this paper, the first moment and second moment of the above random conditions were used to replace the original one, and another kind of two-period portfolio efficiency estimation model was built. The numerical analyses show that this proposed model is effective.

Key words: multi-period portfolios, diversification model, performance evaluation, portfolio efficiency