| 股票投资组合的实证研究 |
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| 引用本文： | 陈晔,晏小兵,王跃恒.股票投资组合的实证研究[J].数学理论与应用,2010(1):110-115. |
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| 作者姓名： | 陈晔 晏小兵 王跃恒 |
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| 作者单位： | 长沙理工大学数学与计算科学学院; |
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| 基金项目： | 国家自然科学基金(No:10771021;10471012);;教育部留学回国人员科研启动基金([2005]564);;湖南省自然科学基金(No:08JJ3007);;湖南省教育厅科研基金(No:07A003;08C120;07C078;09C059;09C113)资助项目 |
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| 摘 要： | 股票的收益率的实际分布有尖峰厚尾有偏的特性,而传统的正态分布不能很好地拟合这一特性。对股票进行组合投资是现代投资的趋势。本文基于非对称Laplace分布来研究股票投资组合。实证分析表明,非对称Laplace分布比正态分布,对称Laplace分布能更好地拟合组合资产的收益分布率。
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| 关 键 词： | 非对称Laplace分布 尖峰厚尾 有偏 投资组合 |
An Empirical Study of the Stock Portfolio |
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| Chen Ye Yan Xiaobing Wang Yueheng.An Empirical Study of the Stock Portfolio[J].Mathematical Theory and Applications,2010(1):110-115. |
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| Authors: | Chen Ye Yan Xiaobing Wang Yueheng |
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| Institution: | College of Mathematics and Computing Science/a>;Changsha University of Science and Technology/a>;Changsha/a>;410114 |
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| Abstract: | Actual stock returns are distributed biased skewed,peak and fat-tail characteristics,whereas the traditional normal distribution can not fit this characteristic well.Portfolio of stock is a modern investment trend.This article is based asymmetric Laplace distribution to research stock portfolio.Empirical analysis shows that the asymmetric Laplace distribution can better fit the distribution of the rate of portfolio return than the normal,symmetric Laplace distribution. |
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| Keywords: | Asymmetric Laplace distribution Peak and fat-tail Skewed Portfolio |
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