| Sensitivity to Estimation Errors in Mean—variance Models |
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| 作者姓名： | Zhi-pingChen Cai-eZhao |
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| 作者单位： | DepartmentofScientificComputingandAppliedSoftwares,FacultyofScience,Xi‘anJiaotongUniversity,Xi’an710049,China |
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| 基金项目： | Supported by the Natural Science Foundation of Shanxi Province,China (No.2001SL09) |
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| 摘 要： |
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| 关 键 词： | 估计误差 敏感性 均方差模型 有效证券组合 Lipschitz连续 权 变换率 风险收益 稳定性 |
Sensitivity to Estimation Errors in Mean-variance Models |
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| Zhi-pingChen Cai-eZhao.Sensitivity to Estimation Errors in Mean-variance Models[J].Acta Mathematicae Applicatae Sinica,2003,19(2):255-266. |
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| Authors: | Email author" target="_blank">Zhi-ping?ChenEmail author Cai-e?Zhao |
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| Institution: | (1) Department of Scientific Computing and Applied Softwares, Faculty of Science, Xi'an Jiaotong University, Xi'an 710049, China (E-mail: zchen@xjtu01.xjtu.edu.cn), CN |
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| Abstract: | |
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| Keywords: | The MV model estimation error sensitivity Lipschitz continuity |
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