뗚10뻭ꆡ뗚2웚퓋ꆡ돯ꆡ폫ꆡ맜ꆡ샭,쓪6퓂OPERATIONSRESEARCHANDMANAGEMENTSCIENCEJun.,2001ꆡꆡ뻸뛔럧쿕맦뇜헟뗄횤좯춶샭싛뫍랽램뫎뎯쇖,ꆡ돌쾣뾥(훐맺뿆톧벼쫵듳톧맜샭뿆톧쾵,낲믕뫏럊230026)햪ꆡ튪:놾컄퓚럖컶횤좯춶헟킧폃몯쫽뗄믹뒡짏,췆떼돶톡퓱횤좯춶욷훖뗄쯦믺뿘훆ힼ퓲,쳘뇰뛔죽뷗쯦믺뿘훆ힼ퓲뗄샭싛뫍펦폃ퟶ쿪쾸럖컶,늢폃듋ힼ퓲뛔짏몣횤좯붻틗쯹뗄웕춨막욱ퟷ쪵횤럖컶ꆣ헢캪횤좯춶헟톡퓱횤좯춶욷훖탎돉폐킧횤좯벯뫏쳡릩뿆톧틀뻝ꆣ맘볼듊:횤좯춶;럧쿕럖컶;쯦믺뿘훆;폐킧벯뫏훐춼럖샠뫅:F830191ꆡꆡꆡ컄쿗뇪쪶싫:Aꆡꆡꆡ컄헂뇠뫅:100723221(2001)0220125205TheoryandApplicationofSecuritiesInvestmentforAbsoluteRisk2avoidInvestorHEChao2lin,ꆡCHENGXi2jun(,&TechnologyofChina,Hefei230026,China)Abstract:Thispaperanalyzestheutilityfunctionsofsecurityinvestor,givesthestochasticdominationrulestoselectsecurities,,:securityinvestment;riskanalysis;stochasticdomination;efficientset0ꆡ틽퇔십뿂췾뗄쿖듺횤좯ퟩ뫏춶샭싛죏캪춨맽럖즢뮯,볈뿉틔쳡룟웚췻쫕틦,폖뿉틔폐킧뗘붵뗍럧쿕,튲뻍쫇닉좡쯹캽ꆰ늻튪냑쯹폐뗄벦떰뚼럅퓚춬튻룶삺ퟓ샯ꆱ뗄풭퓲살릹퓬춶ퟩ뫏ꆣ[1]헢짦벰떽솽룶맘볼뗄컊쳢:튻쫇춶ퟩ뫏뗄맦쒣,뛾쫇톡좡쓄킩횤좯욷훖뷸죫춶ퟩ뫏ꆣ맘폚쫊뛈뗄춶ퟩ뫏맦쒣,돌쾣뾥뗈[2]틑ퟶ쿪쾸뗄퇐뺿뫍쳖싛ꆣ좻뛸,뷶뷶횪뗀쫊뛈뗄ퟩ뫏맦쫕룥죕웚:2001202207ퟷ헟볲뷩:뫎뎯쇖(19712),쓐,낲믕쳬뎤죋,붲쪦,쮶쪿퇐뺿짺,쿖뻍횰폚낲믕믺뗧톧풺럄횯럾ힰ쾵ꆣ
126퓋ꆡ돯ꆡ폫ꆡ맜ꆡ샭ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2001쓪뗚10뻭쒣쫇늻릻뗄,뮹뇘탫폐튻훖폐킧뗄랽램살즸톡횤좯욷훖,틲캪헻룶횤좯쫐뎡짏뗄막욱훖샠럇뎣뛠ꆣ돌쾣뾥뗈[2]퓚쿖듺킧폃샭싛뗄믹뒡짏,춨맽뛔춶헟럧쿕욫뫃벰막욱쫕틦싊킧폃뗄퇐뺿,떼돶쇋튻뷗쯦믺뿘훆ힼ퓲(FSD)뫍뛾뷗쯦믺뿘훆ힼ퓲(SSD),춨맽헢솽룶ힼ퓲살톡퓱춶욷훖,폐킧뗘붵뗍쇋횤좯ퟩ뫏뗄럧쿕,쳡룟쇋웤쫕틦ꆣ놾컄퓚뛔춶헟럧쿕샠탍ퟷ뷸튻늽럖컶뗄믹뒡짏,떼돶죽뷗쯦믺뿘훆ힼ퓲(TSD),늢뷸탐쪵횤럖컶,캪뻸뛔럧쿕맦뇜헟쳡릩룼볓폐킧뗄춶뻶닟샭싛뫍랽램ꆣ1ꆡ쯦믺뿘훆ힼ퓲듓막욱쫕틦싊R뗄킧폃몯쫽U(R)뗄뷇뛈뾼달솽횤좯F뫍G,헢솽훖횤좯뻹폃R뗄럖늼(쯦믺뇤솿)뇭쪾,뛔쎿룶럇뗝복뗄킧폃몯쫽(UΕ0)뛸퇔,횤좯A쏷쿔폅폚횤좯B뗄돤럖뇘튪쳵볾쫇EFU(R)ΕEGU(R),벴횻튪횤좯F뗄쫕틦싊뗄웚췻킧폃듳폚횤좯G뗄쫕틦싊뗄웚췻킧폃,퓲췆뛏죎뫎춶헟늻믡톡퓱횤좯G,폚쫇냑횤좯G맩폚컞킧벯뫏,듋쪱돆횤좯F뿘훆횤좯Gꆣ헢퇹,컒쏇냑쯹폐횤좯럖돉솽룶뮥늻쿠죝뗄벯뫏:폐킧벯뫏뫍컞킧벯뫏,잰헟냼몬쇋뛔폚쒳쳘뚨춶헟쯹폐뫏뫵탨튪뗄횤좯ꆣ틲듋,ퟱ톭튻뚨뗄ힼ퓲뿉쳞돽쯹폐늻뫏뫵탨튪뗄횤좯,뻍뿉틔뛔춶욷훖뷸탐즸톡ꆣ룹뻝쿖듺킧폃샭싛,믹폚뛔럧쿕뗄첬뛈붫춶헟럖캪죽훖샠탍ꆣA:럧쿕맦뇜탍;B:럧쿕낮뫃탍;C:럧쿕훐탔탍ꆣ웤킧폃몯쫽쟺쿟죧쿂:쿔좻,죧맻컒쏇볙뚨춶헟쫇샭탔뗄,퓲컞싛쯻쫴폚쓄튻훖샠탍,웤쫕틦뗄킧폃몯쫽뚼펦룃쫇럇뢺뗄:uꇤ(R)Ε0ꆣ벴쯦ퟅ쫕틦뗄퓶볓,킧폃튲쿠펦뗘퓶볓ꆣ폚쫇췆떼돶뚨샭1ꆣ뚨샭1ꆡ볙뚨춶헟킧폃몯쫽뗄튻뷗떼쫽uꇤ(R)Ε0,죎룸솽훖횤좯F뫍G맘폚쫕틦싊R뗄럖늼몯쫽F(R)뫍G(R),죧맻뛔폚죎튻R,폐F(R)ΕG(R)(훁짙퓚튻뗣짏늻뗈뫅돉솢)퓲횤좯F폅폚횤좯Gꆣ뚨샭1튲돆튻뷗쯦믺뿘훆ힼ퓲(FirstStochasticDomination,볲볇캪FSD)ꆣ뚨샭1뗄횤쏷닎볻컄쿗[2]ꆣ좻뛸퓚춶쪵컱훐,춶헟뛔쯰쪧뇈뛔쫕틦룼볓맘힢,쯻쏇듳뛠쫴폚럧쿕맦뇜헟,웤뇟볊킧폃쯦쫕틦뗄퓶볓뛸복짙,벴킧폃몯쫽뗄뛾뷗떼쫽럇헽:uꇥ(R)Φ0ꆣ헢퇹췆떼돶뚨샭2ꆣ뚨샭2ꆡ뛔쯹폐럧쿕맦뇜헟(uꇤ(R)Ε0쟒uꇥ(R)Φ0),횤좯F폅폚횤좯G뗄돤튪쳵볾쫇,뛔죎틢R,뻹싺ퟣꇒR-ꇞF(t)dtΦꇒR-ꇞG(t)dtꆣ웤훐늻뗈뫅훁짙퓚튻뗣짏돉솢ꆣ룃뚨샭튲돆뛾뷗쯦믺뿘훆ힼ퓲(SecondStochasticDomination,볲볇캪SSD)ꆣ뚨샭2뗄횤쏷닎볻컄쿗[2]ꆣ떫쫇퓚럧쿕맦뇜헟훐,폐튻샠춶헟뗄럧쿕욫뫃뇭쿖캪뻸뛔럧쿕맦뇜,쯻쏇캪쿻돽튻뚨뗄럧쿕뛸횧뢶뗄럧쿕틧볛쯦닆뢻뗄퓶볓뛸복짙ꆣ맘폚뻸뛔럧쿕맦뇜헟뗄쳘헷,맾쒷
뗚2웚ꆡꆡꆡꆡꆡꆡꆡ뫎뎯쇖,뗈:뻸뛔럧쿕맦뇜헟뗄횤좯춶샭싛뫍랽램127ꆤ샕췾뫍십킪뛻ꆤ죸쓉쳘[3]횤쏷쇋웰킧폃몯쫽뗄죽뷗떼쫽럇뢺:uÊ(R)Ε0,헢퇹췆떼돶뚨샭3ꆣ뚨샭3ꆡ볙뚨폐FꆢG솽훖횤좯,쯼쏇뗄쫕틦싊R뷩폚a폫b횮볤,Rꇊ[a,b],쫕틦싊R뗄럖늼몯쫽럖뇰캪F(R)뫍G(R),U캪킧폃몯쫽,뛔폚뻸뛔럧쿕맦뇜헟,웤킧폃몯쫽싺ퟣ:uꇤ(R)Ε0,uꇥ(R)Φ0,uÊ(R)Ε0,퓲횤좯F폅폚횤좯G뗄돤튪쳵볾쫇uFΕuGꆡꆡ(1)뫍ꇒRaꇒyF(t)dtdyꇜaꇒRaꇒyG(t)dtdy(2)a웤훐늻뗈뫅훁짙퓚튻뗣짏돉솢ꆣ룃뚨샭튲돆죽뷗쯦믺뿘훆ힼ퓲(ThirdStochasticDomination,볲볇캪TSD)ꆣ뚨샭3뗄횤쏷닎볻컄쿗[4]ꆣ퓋폃TSD뿉틔뛔횤좯춶욷훖ퟷ룼뷸튻늽뗄즸톡ꆣ2ꆡTSD폐킧벯뫏뗄쯣램BellLaboratories뫍Holmdel폚1974쓪쳡돶튻훖룹뻝횤좯풭쪼샺쪷쫕틦싊뗄쪱볤탲쇐뷸탐쯦믺뿘훆볬퇩뗄TSD쯣램ꆣ쎿훖횤좯풭쪼샺쪷쫕틦싊내짽탲업쇐,벴듓ퟮ뗗뗄쫕틦싊떽ퟮ룟뗄쫕틦싊,틔뇣쏨믦쎿훖횤좯쫕틦싊뗄샛믽룅싊럖늼ꆣ헢퇹죎솽훖횤좯퓚뻹횵닮듳폚뗈폚쇣뗄잰쳡쿂춨맽TSDힼ퓲뿉뷸튻늽에뇰쫫폅쫫쇓,듓뛸탎돉TSD폐킧춶횤좯벯뫏ꆣ퓚뇈뷏쪱탨힢틢뗄튻뗣쫇,늢럇쯹폐폐킧벯뫏훐뗄횤좯튻뚨폅폚컞킧벯뫏훐뗄쎿훖횤좯,떫뇘탫싺ퟣ,컞킧벯뫏훐뗄쎿튻횤좯훁짙놻폐킧벯뫏훐뗄쒳튻횤좯쯹뿘훆ꆣ(1)TSD쯣램쮵쏷:쇮XF1,XGi(i=1,2,ꆭ,N)럖뇰듺뇭솽훖막욱F뫍G뗄풭쪼샺쪷쫕틦싊,내짽탲업쇐ꆣkkXꇤFk=6XF1,XꇤGk=6XGi(k=1,2,ꆭ,N)l=1l=1mmXꇥFm=6XꇤFk,XꇥGm=6XꇤGk,(m=1,2,ꆭ,N)k=1k=1(2)TSD쯣램:뗚튻늽:XF1<XG1,퓲F쇓폚G,럱퓲뗚뛾늽ꆣ뗚뛾늽:XFiΕXGi(i=2,3,ꆭ,N),퓲F폅폚G,럱퓲뗚죽늽ꆣ뗚죽늽:XꇤFkΕXꇤGk(k=1,2,ꆭ,N),퓲F폅폚G,럱퓲뗚쯄늽뗚쯄늽:죴XꇥFmΕXꇥGm(m=1,2,ꆭ,N),퓲F폅폚G,럱퓲뗚컥늽ꆣ뗚컥늽:죴XꇥFm<XꇥGm(m=1,2,ꆭ,N),퓲F쇓폚G,럱퓲톰헒뗚튻룶뗣p,p캪1,2,ꆭN훐뗄튻룶ퟔ좻쫽,쪹뗃XꇥFpΕXꇥGp,쇮k=p+1뗚쇹늽ꆣ뗚쇹늽:죴XꇤFkΕXꇤGk(k=p+1,p+2,ꆭ,N),퓲F폅폚G,럱퓲톰헒뗚튻룶뗣h,h캪p+1,p+2,ꆭ,N훐뗄튻룶ퟔ좻쫽,쪹뗃XꇤFh<XꇤGh,쇮m=h,죴XꇥFmΕXꇥGm뗚쯄늽,럱퓲F쇓폚Gꆣ3ꆡTSD쯣램뗄쪵횤럖컶벰웤폐킧횤좯벯뫏쿂쏦컒쏇쫕벯짏몣횤좯붻틗쯹쓚붻틗뗄쯄쪮훖웕춨막욱퓚2000쓪7퓂훁12퓂릲25룶훜쫕틦싊쫽뻝ꆣ춨맽헢킩샺쪷쫽뻝퓚TSD쯣램쿂뗃떽쯼쏇뗄쯦믺뿘훆맘쾵죧뇭1,듓뇭1뗄뿘훆맘쾵훐뗃떽헢쯄쪮훖웕춨막욱춶뗄폐킧횤좯벯뫏죧뇭2ꆣ본폚짏몣횤좯붻틗쯹쓚붻틗뗄막욱듺싫튻싉캪600333,맊퓚뇭튻훐쪡싔600ꆣ
128퓋ꆡ돯ꆡ폫ꆡ맜ꆡ샭ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2001쓪뗚10뻭
뗚2웚ꆡꆡꆡꆡꆡꆡꆡ뫎뎯쇖,뗈:뻸뛔럧쿕맦뇜헟뗄횤좯춶샭싛뫍랽램129뇭2ꆡTSDힼ퓲쿂뗄폐킧횤좯벯뫏Table2ꆡtheefficientsecuritysetunderTSDrule막욱막욱막욱쏻돆듺싫TSD막욱막욱쏻돆듺싫TSD막욱쏻돆듺싫TSD막욱막욱쏻돆듺싫TSD막욱막욱쏻돆듺싫TSD쫗뒴뿆벼600857O쇺뗧ST룖맜600845∃막럝600726O춨뮯뚫놦600867O훘쟬냙듻600729O늳몣벯췅600858O춬볃폀짺뿆벼600846∃막럝600613O짏몣튽튩600849O짏몣룛믺600732O췵뢮뺮뇹쿤600859O췲샯뗧돘600847O붺뎣막럝600614O뮪뚫뗧쓔600850∃톹쯵600619O놱죋럡뮪막럝600860Oퟔ틇막럝600848∃풲훩600615O훐뒨맺볊600852O쳬햹막럝600620O놱뺩돇쿧600861O쳬풪막럝600148O뗚튻쪳욷600616O뒺삼막럝600854O짏몣뷰쇪600621Oퟝ뫡몽쳬맺볊600862∃믺뗧600150O솪뮪뫏쿋600617∃틦첩600156O싖첥쿰붺600623∃짏릤막럝600843O쓾늨뢻듯600724O쓚쏉뮪뗧600863O쓾돇샏뷑600519O뎤냙벯췅600856O펢탛냙듳막럝600844O퓆캬막럝600725∃벯췅600856O탂첫뿆벼600728O뗧듯막럝600626Oꆡ(ꆰ∃ꆱ뇭쪾뷸죫,ꆰOꆱ뇭쪾늻뷸죫)4ꆡ뷡싛퓚횪뗀막욱풭쪼쫕틦싊뗄믹뒡짏,뿉춨맽TSD쯣램뛔횤좯뗄막욱뷸탐뿆톧즸톡,탎돉폐킧횤좯벯뫏뷸탐춶,듓뛸캪춶헟뷸탐횤좯춶톡퓱쪱쳡릩뿆톧틀뻝뫍랽램ꆣ닎뾼컄쿗[1]쿄웕뗈.춶풭샭[M].퇯?첦.쇵탇틫.훘쟬:훘쟬듳톧돶냦짧,1992.[2]돌쾣뾥,맺잿.쿖듺춶샭싛럖컶[M].뫏럊:낲믕뷌폽돶냦짧,,1392147.[3](쏀)맾쒷ꆤ샕췾뫍십킪뛻ꆤ죸쓉쳘.횤좯춶ퟩ뫏폫톡퓱[M].돂퓆쿍,훬룒쇖틫,맣훝:훐즽듳톧돶냦짧,1998.[4]돌쾣뾥.뛔쯦믺폅쫆뻶닟샭싛뗄솽룶컊쳢뗄퇐뺿[J].짏몣몣퓋톧풺톧놨.1997,(4).
