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基于机会约束的均值-VaR投资组合模型研究 总被引:3,自引:0,他引:3
在证券收益率服从正态分布的前提下,建立了包含无风险证券投资组合的机会约束下的均值-VaR模型,讨论了最优解的存在性和惟一性,并在均值-VaR模型有效边界的基础上引入机会约束,从而得到了最优解均值的解析表达式. 相似文献
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基于机会约束的均值—VaR投资组合模型再研究 总被引:3,自引:0,他引:3
在证券收益率服从正态分布的前提下,建立了允许无风险借贷并且借贷利率不同的机会约束下均值—VaR模型,讨论了最优解的存在性和惟一性.然后在均值—VaR模型有效边界的基础上引入机会约束,得到了该模型的有效边界及其最优解. 相似文献
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In this paper, a composite explicit nonlinear dispersion relation is presented with reference to Stokes 2nd order dispersion relation and the empirical relation of Hedges. The explicit dispersion relation has such advantages that it can smoothly match the Stokes relation in deep and intermediate water and Hedgs's relation in shallow water. As an explicit formula, it separates the nonlinear term from the linear dispersion relation. Therefore it is convenient to obtain the numerical solution of nonlinear dispersion relation. The present formula is combined with the modified mild-slope equation including nonlinear effect to make a Refraction-Diffraction (RDF) model for wave propagating in shallow water. This nonlinear model is verified over a complicated topography with two submerged elliptical shoals resting on a slope beach. The computation results compared with those obtained from linear model show that at present the nonlinear RDF model can predict the nonlinear characteristics and the combined refracti 相似文献
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