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本文提出了具有实际约束的均值-方差模糊投资组合优化模型。由于实际投资约束情况,如交易成本、交易量限制、借款限制和基数约束的影响,投资组合优化模型非常复杂,难以获得真实前沿面的解析解,这给投资组合理论的应用带来了很大的困难。基于数据的实际约束的均值-方差模糊投资组合DEA评价模型,文章通过构造前沿面来逼近一般情形下真实的前沿面。最后,通过上海证券市场的实际数据验证了本文方法的合理性与可行性。 相似文献
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Markowitz首先采用方差度量风险,并应用于投资组合优化中,大多数的均值方差模型仅对随机投资组合优化或模糊投资组合优化进行研究,然而,实际投资组合优化问题既包含随机信息也包含模糊信息。本文首先定义随机模糊变量的方差,并用其度量风险,提出了具有交易成本、借贷约束和阀值约束的均值-方差随机模糊投资组合优化模型。基于随机模糊理论,将上述模型转化为具有线性等式和线性不等式约束的凸二次规划问题,并得到其KKT条件。本文还提出改进的旋转算法求解上述模型,该算法消掉KKT条件中部分变量,减少计算量。最后,采用中国证券市场的实际数据进行样本内分析和样本外分析,验证了上述模型和算法的有效性。 相似文献
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Markowitz的均值-方差模型在投资组合优化中得到了广泛的运用和拓展,其中多数拓展模型仅局限于对随机投资组合或模糊投资组合的研究,而忽略了实际问题同时包含了随机信息和模糊信息两个方面。本文首先定义随机模糊变量的方差用以度量投资组合的风险,提出具有阀值约束的最小方差随机模糊投资组合模型,基于随机模糊理论,将该模型转化为具有线性等式和不等式约束的凸二次规划问题。为了提高上述模型的有效性,本文以投资者期望效用最大化为压缩目标对投资组合权重进行压缩,构建等比例-最小方差混合的随机模糊投资组合模型,并求解该模型的最优解。最后,运用滚动实际数据的方法,比较上述两个模型的夏普比率以验证其有效性。 相似文献
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CSCW系统中存在大量的长周期、协作、交互事务,传统事务模型和高级事务模型不能有效地支持CSCW系统中的事务处理,本文提出一个基于语义的同事务模型,该模型基于协作过程和数据对象的语义信息,能够满足CSCW系统中事务处理的需要。 相似文献
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有交易成本的投资组合策略 总被引:2,自引:0,他引:2
金融市场都存在交易成本,为此,本文建立了有交易成本的投资组合模型,讨论了模型解的条件,并提出模型的通用数值解法,最后给出了应用举例. 相似文献
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Shu-ping Chen Chong Li Sheng-hong Li Xiong-wei WuDepartment of Applied Mathematics Zhejiang University Hangzhou ChinaDepartment of Applied Mathematics Southeast University Nanjing China 《应用数学学报(英文版)》2002,18(2):231-248
Abstract The purpose of the article is to formulate,under the l_∞ risk measure,a model of portfolio selectionwith transaction costs and then investigate the optimal strategy within the proposed.The characterization of aoptimal strategy and the efficient algorithm for finding the optimal strategy are given. 相似文献
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《Operations Research Letters》2021,49(5):715-719
We study the predictive value of transaction activity in the bitcoin network for the realized volatility of bitcoin returns constructed by high-frequency data. As an alternative modeling approach to the popular linear heterogeneous autoregressive model, we provide out-of-sample forecasts for realized volatility of bitcoin returns employing machine learning algorithms, and in particular by Random Forests. Our findings reveal that on-blockchain transaction activity does improve the out-of-sample forecast accuracy at all the forecast horizons considered. 相似文献
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有交易费时的欧式期权定价 总被引:2,自引:0,他引:2
本文考虑存款与借款利率不同且对股票的交易有交易费要求时的欧式期权定价问题。我们假定投资者的投资目的是使自己的期望效用最大化。对于市场给出的期权价格,投资者将选择最优的资产组合。在投资者的这种行为下,可以认为市场是投资者的对手,而期权的市场价格将会这样给出:投资者在这个价格下,他的最大期望效用将达到最小。本文在假定投资者的效用函数为风险中性时,给出了有交易费时欧式期权价格的显式表达式。 相似文献
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The purpose of this paper is to illustrate how a very simple queueing model can be used to gain insight into a computer memory management strategy that is important for a large class of discrete-event simulation models. To this end, an elementary queueing model is used to demonstrate that it can be advantageous to run transaction-based simulations with a relatively few tagged transactions that collect data. The remaining transactions merely congest the system. Conceptually the tagged transactions flow through the simulation acting similar to radioactive trace elements inserted into a biological system. The queueing model analyzed in this paper provides insight into some trade-offs in simulation data collection. We show that, while resulting in a longer computer run, an optimal tagging interval greater than one will minimize the probability of prematurely aborting the run. Finally, we propose a heuristic procedure to estimate the optimal tagging interval. We illustrate this with an actual simulation study of a steel production facility.This research was partially supported by a grant to Cornell University by the Bethlehem Steel Corporation 相似文献
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有交易成本的模糊最优化投资 总被引:1,自引:0,他引:1
本文针对交易成本在证券组合投资中的重要地位 ,提出了考虑交易成本 ,并兼顾收益与风险的模糊最优化投资模型 ,分析了交易成本对投资有效边界的影响 ,并给出了最优投资比例公式 .这对投资者进行投资有重要的理论与实践意义 .最后 ,通过释例进行了说明 . 相似文献
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针对中国证券市场现存的各种交易费用,建立一个更加符合实际的组合证券投资模型.该模型不仅继承了股票不可拆分、不能卖空等特点,而且完全反映了交易费用的核算情况;最后给出一个遗传算法结合动态罚函数求解的投资实例,计算结果证明了该模型及其求解方法的有效性和可操作性. 相似文献
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《European Journal of Operational Research》1996,91(2):250-263
Some recent results for frictionless economies show that popular dynamic portfolio strategies such as stop-loss and lock-in are inefficient. I.e for each of these strategies there exists an alternative portfolio strategy that gives the same final payoff distribution at lower initial costs. However, the alternative strategies require considerably more active trading than the simple strategies. The results rely heavily on the assumption of no transaction costs. Under this assumption the initial investment required is a linear function of the prices of the contingent claims that build the final payoff distribution. In this paper we demonstrate that, even for modest levels of transaction costs, the efficient strategies are more costly than the simple strategies, i.e. a strategy that replicates the final payoff distribution of an efficient strategy is excessively costly due to the transaction costs and the heavy trading involved. Since the initial investment is no longer a linear function of the contingent claims, the optimization problems to find the most efficient strategy are complicated combinatorial optimization problems which can only be solved for trees with a small number of steps. In a world without transaction costs, options are redundant instruments, since all payoff distributions can be replicated by trading in stocks and bonds. In the second half of this paper we show that the use of options in a world with transaction costs enables investors to realize final value distributions at lower initial costs than would be possible with trades in stocks an bonds only. Hence, although in theory options do not give rise to other portfolio strategies, they do in a more restrictive setting with transaction costs. 相似文献