中文摘要：

对常规的最优化模型增加了对股票投资比例最低值的限定，得到新型的最优化模型，解决了现货组合中可能出现的某些股票投资比例过低的问题。跟踪现货指数的实证表明，新型最优化模型的跟踪效果优于常规最优化模型；同时，股指期货期现套利的实证也表明，新型最优化模型的套利收益率也高于常规最优化模型的套利收益率。

英文摘要：

In this paper, we increase the minimum limit value of the proportion of stock investments in the conventional optimization models, and obtain the new optimization model, which solve the problem that the cash portfolio may lead to the proportion of some stock investments too low. In the empirical research of tracking stock index, the tracking effect of the new optimization model is slightly better than the conventional one. At the same time, in the empirical research of stock index futures arbitrage, the rate of arbitrage return of the new optimization model is also slightly higher than the conventional one.