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1.
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework   总被引:44,自引:0,他引:44  
This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to the variance term involved. It is shown that this nonstandard problem can be ``embedded' into a class of auxiliary stochastic linear-quadratic (LQ) problems. The stochastic LQ control model proves to be an appropriate and effective framework to study the mean-variance problem in light of the recent development on general stochastic LQ problems with indefinite control weighting matrices. This gives rise to the efficient frontier in a closed form for the original portfolio selection problem. Accepted 24 November 1999  相似文献
2.
基于均值-VaR的投资组合最优化   总被引:13,自引:0,他引:13  
利用均值-VaR方法,提出了有交易费用存在时的最优投资组合模型。通过求解均值-方差模型来研究均值-VaR模型的有效前沿,并指出在收益率的分布为正态分布的假设下,均值-VaR模型的有效集是均值-方差有效前沿的子集。有关全局最小VaR的存在性的分析显示在选择VaR的置信水平时必须非常小心。最后给出了应用均值-VaR模型的实例分析。  相似文献
3.
不允许卖空的组合证券投资决策方法研究   总被引:11,自引:2,他引:9  
根据组合证券投资决策模型,研究了不允许卖空的组合证券投资的有效边界及其性质,给出了不允许卖空情况下组合证券投资决策方法。  相似文献
4.
证券数减少情形下M—V证券组合特征灵敏度分析   总被引:9,自引:0,他引:9  
本文研究当市场不存在无风险收益证券且允许卖空时证券组合特征关于证券数减少的灵敏度分析,给出了有效边缘、渐近线斜率、全局最小方差证券组合及其协方差、最小方差证券组合的投资权数、最小方差证券组合之间结合线等的变化模式,得到了一些有意义的结果.这不仅是对证券组合选择理论的进一步完善,对投资者也具有一定的指导意义  相似文献
5.
The general mean-semivariance portfolio optimization problem seeks to determine the efficient frontier by solving a parametric non-quadratic programming problem. In this paper it is shown how to transform this problem into a general mean-variance optimization problem, hence the Critical Line Algorithm is applicable. This paper also discusses how to implement the critical line algorithm to save storage and reduce execution time.  相似文献
6.
基于条件VaR(CVaR)的投资组合优化模型及比较研究   总被引:6,自引:0,他引:6  
在总结投资组合优化模型的基础上 ,详细分析了 Va R和 CVa R的概念及重要性质 ,分析了将 Va R和 CVa R应用于决策问题的处理技巧 .针对传统均值—方差模型 ,提出不考虑各种限定条件的基于条件Va R( CVa R)的投资组合优化模型以及考虑限定条件的一般模型 .针对模型的适用性 ,详细比较了 CVa R模型和均值—方差模型的应用复杂性 ,并利用实际数据进行了对比 .  相似文献
7.
8.
Bicriteria linear fractional programming   总被引:4,自引:0,他引:4  
As a step toward the investigation of the multicriteria linear fractional program, this paper provides a thorough analysis of the bicriteria case. It is shown that the set of efficient points is a finite union of linearly constrained sets and the efficient frontier is the image of a finite number of connected line segments of efficient points. A simple algorithm using only one-dimensional parametric linear programming techniques is developed to evaluate the efficient frontier.This research was partially supported by NRC Research Grant No. A4743. The authors wish to thank two anonymous referees for their helpful comments on an earlier draft of this paper.  相似文献
9.
The efficient frontier for bounded assets   总被引:4,自引:0,他引:4  
This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and bounded assets when an additional technical assumption is satisfied. Although the assumption of uncorrelated assets is unduly restrictive, the explicit determination of the efficient asset holdings in the presence of bound constraints gives insight into the nature of the efficient frontier. The mean-variance portfolio selection problem considered here deals with the budget constraint and lower bounds or the budget constraint and upper bounds. For the mean-variance portfolio selection problem dealing with lower bounds the closed form solution is derived for two cases: a universe of only risky assets and a universe of risky assets plus an additional asset which is risk free. For the mean-variance portfolio selection problem dealing with upper bounds, the results presented are for a universe consisting only of risky assets. In each case, the order in which the assets are driven to their bounds depends on the ordering of their expected returns.  相似文献
10.
项目投资组合的风险度及其最优决策   总被引:3,自引:0,他引:3  
本文针对项目组合投资问题引入了风险度概念,并建立其风险度模型.在无零风险度项目的情况下,给出了该模型的最优项目组合投资策略并证明该策略为马氏有效.在有零风险度项目的情况下,讨论了该模型的有效前沿的结构、性质和有效性,同时还论证了该模型的有效前沿与威廉·夏普提出的资本资产定价模型的有效前沿相一致的线性关系.最后作为本模型的应用,构造了”保证还本”模型,给出了其最优项目投资组合的策略.  相似文献
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