中文摘要：

在分析Dentcheva＆Ruszczynski （2006）提出的基于二阶随机占优约束的投资组合优化模型的基础上,构建了三阶随机占优约束下的绝对风险厌恶递减型投资组合模型.该模型在投资组合的收益率三阶随机占优于基准参考组合的收益率约束下,最大化投资组合的期望收益率,离散分布情形可以转化为二次规划问题.该方法与均值-风险模型和效用函数模型相比具有重要的优势.利用上海证券市场的实际交易数据验证了该模型的有效性和实用性,实证分析结果表明,该模型既能实现较小的跟踪误差,也能实现一定的超额收益.

英文摘要：

Based on Dentcheva ＆ Ruszczynski＇ s（2006） risk averse portfolio optimization model with risk control by second order stochastic dominance,this paper proposes a decreasing absolute risk averse portfolio optimization model which includes third order stochastic dominance as constraints.We finds a portfolio with return rate dominating the benchmark portfolio return rate in the third order and having maximum expected return,and it is easily transformed into quadratic programming model for discreat stochastic variables.This approach has a fundamental advantage over mean-risk models and utility function models.Finally,an empirical study using data from Shanghai stock market is given in order to describe it＇s application,the result suggests that,the optimal portfolios of our model can achieve low tracking error and excess return.