共查询到16条相似文献,搜索用时 140 毫秒
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证券投资组合理论的一种新模型及其应用 总被引:4,自引:0,他引:4
马科维茨(Markowitz)以证券收益率的方差作为投资风险的测度建立了组合证券投资模型,本基于熵的概念,在研究马科维茨(Markowitz)证券投资组合模型的基础上,分析了该模型用方差度量风险的不足,进而提出一种新的证券投资组合优化模型,并以实例作了说明。 相似文献
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均值-叉熵证券投资组合优化模型 总被引:4,自引:1,他引:3
在研究马科维茨(Markowitz)证券投资组合模型的基础上,分析了该模型用方差度量风险的缺陷,进而提出用叉熵作为风险的度量方法,建立了均值-叉熵的投资组合优化模型.该模型计算简便,更易被一般投资人所使用. 相似文献
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在分析证券市场中证券组合投资不确定性质的基础上,通过对Markowitz模型中证券期望收益与方差引入容差项来度量证券市场的不确定性,建立了不确定条件下具有容差项的Markowitz证券组合投资模型;分类讨论了容差的上界与下界所对应的两类有效组合前沿,得到了不确定条件下的证券组合投资模型的最优化解法及相关定理;最后给出了一个具体的数值实例. 相似文献
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目标规划法在证券组合投资中的应用 总被引:2,自引:0,他引:2
证券投资是目前我国经济中的一大热点。本以Markowitz证券组合投资理论为基础,运用目标规划的方法建立一种新的证券组合投资决策模型。在本模型中综合考虑了证券组合的收益,风险,交易费用等因素,对投资选择有效证券组合有一定的实用价值。 相似文献
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本文利用方差和绝对离差这两个风险度量指标 ,分别建立了证券组合投资的动态模型 ,并给出其解法 .从而使模型更符合实际 ,有利于实施最佳的组合投资的策略 . 相似文献
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本利用方差和绝对离差这两个风险度量指标,分别建立了证券组合投资的动态模型,并给出其解法。从而使模型更符合实际,有利于实施最佳的组合投资的策略。 相似文献
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Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has been widely used in both theoretical and empirical studies, which maximizes the investment return under certain risk level or minimizes the investment risk under certain return level. In this paper, we review several variations or generalizations that substantially improve the performance of Markowitz’s mean–variance model, including dynamic portfolio optimization, portfolio optimization with practical factors, robust portfolio optimization and fuzzy portfolio optimization. The review provides a useful reference to handle portfolio selection problems for both researchers and practitioners. Some summaries about the current studies and future research directions are presented at the end of this paper. 相似文献
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Since Markowitz (1952) formulated the portfolio selection problem, many researchers have developed models aggregating simultaneously several conflicting attributes such as: the return on investment, risk and liquidity. The portfolio manager generally seeks the best combination of stocks/assets that meets his/her investment objectives. The Goal Programming (GP) model is widely applied to finance and portfolio management. The aim of this paper is to present the different variants of the GP model that have been applied to the financial portfolio selection problem from the 1970s to nowadays. 相似文献
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使用MTV模型与Morkowitz证券组合选择模型的投资决策系统 总被引:1,自引:0,他引:1
利用期望和方差的秩系数法、MTV模型、Morkowitz证券组合选择模型构造了一实用的投资决策系统. 相似文献
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Włodzimierz Ogryczak 《Annals of Operations Research》2000,97(1-4):143-162
The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between
expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating
a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences
for choice under risk. Models consistent with the preference axioms are based on the relation of stochastic dominance or on
expected utility theory. The former is quite easy to implement for pairwise comparisons of given portfolios whereas it does
not offer any computational tool to analyze the portfolio selection problem. The latter, when used for the portfolio selection
problem, is restrictive in modeling preferences of investors. In this paper, a multiple criteria linear programming model
of the portfolio selection problem is developed. The model is based on the preference axioms for choice under risk. Nevertheless,
it allows one to employ the standard multiple criteria procedures to analyze the portfolio selection problem. It is shown
that the classical mean-risk approaches resulting in linear programming models correspond to specific solution techniques
applied to our multiple criteria model.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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Treynor-Black在1973年给出了一种不考虑交易成本,没有卖空、投资比例限制的基于单指数模型投资组合构建方法[1],该模型这种方法相比Markowitzl952年的方法更为简单,并且容易推广。本将该模型的限制卖空和具有投资比例限制以及多因子的情形,推广的结果使得该模型在实际投资中更为适用。 相似文献
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