共查询到20条相似文献,搜索用时 62 毫秒
1.
2.
均值-方差投资组合模型作为现代投资组合理论的基础,采用方差作为风险度量,但忽略了投资组合收益的非对称性.而考虑收益非对称性的基于偏度的投资组合模型由于非凸和非二次性使模型难以求解.本文提出用上下半方差的比值近似刻画偏度,建立了均值-方差-近似偏度(MVAS)模型,并利用该模型对中国证券市场主要股票指数进行实证分析.实证分析结果表明,在收益率非正态分布的市场中,考虑了收益率非对称性的投资组合模型较传统的MV和MAD模型具有更优的表现. 相似文献
3.
本文给出了基于历史收益率数据的均值 -平均绝对离差型证券组合投资模型 .该模型采用收益的平均绝对离差作为风险的尺度 ,可以通过求解线性规划来获的摩擦市场 (如具有税收和交易费 )最优投资组合 ,避免了均值 -方差模型求解二次规划的复杂性 . 相似文献
4.
推广的半绝对离差和动态投资组合选择 总被引:2,自引:0,他引:2
在标准的Black-Scholes型金融市场下,建立了以推广的半绝对离差(Extended Semi-Absolute Deviation;ESAD)度量风险的动态均值-ESAD投资组合选择模型,研究了模型的求解方法,得到了最优投资组合策略和均值-ESAD有效前沿的解析表达式.同时,与动态均值-方差模型作了比较分析.最后,结合实例说明了模型的求解方法. 相似文献
5.
6.
7.
8.
9.
多阶段均值-半绝对偏差模糊投资组合优化研究 总被引:1,自引:0,他引:1
考虑交易成本和交易量限制,提出投资组合的收益率的隶属函数为梯形的多阶段均值-半绝对偏差可能性投资组合模型,并用自创算法——离散近似迭代法求解.其基本思路为:将连续型状态变量离散化,根据网络图的构造方法将上述模型转化多阶段赋权有向图;运用极大代数求出起点至终点的最长路程,即获得模型的一个可行解;以该可行解为基础,继续迭代直到前后两个可行解非常接近.文章还证明了该方法的线性收敛.最后,文章以一个具体的算例验证了该算法的有效性. 相似文献
10.
11.
12.
We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local Hölder regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener–Itô integrals. 相似文献
13.
It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary. 相似文献
14.
Kunyang Wang Feng Dai 《分析论及其应用》2007,23(1):50-63
As early as in 1990, Professor Sun Yongsheng, suggested his students at Beijing Normal University to consider research problems on the unit sphere. Under his guidance and encouragement his students started the research on spherical harmonic analysis and approximation. In this paper, we incompletely introduce the main achievements in this area obtained by our group and relative researchers during recent 5 years (2001-2005). The main topics are: convergence of Cesaro summability, a.e. and strong summability of Fourier-Laplace series; smoothness and K-functionals; Kolmogorov and linear widths. 相似文献
15.
One of the most fundamental problems in theoretical biology is to explain the mechanisms by which patterns and forms are created in the'living world. In his seminal paper "The Chemical Basis of Morphogenesis", Turing showed that a system of coupled reaction-diffusion equations can be used to describe patterns and forms in biological systems. However, the first experimental evidence to the Turing patterns was observed by De Kepper and her associates(1990) on the CIMA reaction in an open unstirred reactor, almost 40 years after Turing's prediction. Lengyel and Epstein characterized this famous experiment using a system of reaction-diffusion equations. The Lengyel-Epstein model is in the form as follows 相似文献
16.
18.
《数学研究及应用》2014,(6)
<正>Aims and Scope Journal of Mathematical Research with Applications(JMRA),formerly Journal of Mathematical Research and Exposition(JMRE)created in 1981,is one of the transactions of China Society for Industrial and Applied Mathematics,and is a bimonthly journal.JMRA is dedicated to publishing first-rate original research papers in all areas of mathematics with applications,and making research findings available to a wide scientific world,as JMRE has for many years.In line with the name change,the new scope of Journal of Mathematical Research with Applications will not include the articles on mathematical methodology and mathematical philosophy.Copyright Information 相似文献
19.
20.
<正>Erratum to:Science in China Series A:Mathematics,April 2009 Vol.52 No.4:617–630doi:10.1007/s11425-009-0038-2There is a mistake in the proof of[1,Lemma 2.2],which occurs in 4-th line at[1,p.619], 相似文献