| 使用MTV模型与Morkowitz证券组合选择模型的投资决策系统 |
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| 引用本文： | 肖鸿晶,刘继云.使用MTV模型与Morkowitz证券组合选择模型的投资决策系统[J].数学的实践与认识,2008,38(5):1-5. |
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| 作者姓名： | 肖鸿晶 刘继云 |
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| 作者单位： | 江西经济管理干部学院,南昌,330200 |
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| 摘 要： | 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.
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| 关 键 词： | 二次规划 证券组合 时间序列 协方差 秩相关系数 |
| 修稿时间： | 2005年1月15日 |
An Investment Decision System with the Application of Multivariate Times Series Variance Component(MTV) Model and Markowitz Portfolio Selection Model |
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| XIAO Hong-jing,LIU Ji-yun.An Investment Decision System with the Application of Multivariate Times Series Variance Component(MTV) Model and Markowitz Portfolio Selection Model[J].Mathematics in Practice and Theory,2008,38(5):1-5. |
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| Authors: | XIAO Hong-jing LIU Ji-yun |
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| Abstract: | A practical investment decision system is presented in this paper,according to rank-order correlation method specified to expectation and variance,MTV model and Markowitz portfolio selection model. |
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| Keywords: | quadratic program portfolio time series covariance rank-order correlation |
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