| 带有改进的典型交易成本函数的MCvar模型及其例证分析 |
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| 引用本文： | 李晓清,宋江泽,韦增欣.带有改进的典型交易成本函数的MCvar模型及其例证分析[J].数学的实践与认识,2014(13). |
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| 作者姓名： | 李晓清 宋江泽 韦增欣 |
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| 作者单位： | 广西大学数学与信息科学学院; |
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| 基金项目： | 国家自然科学基金(11161003) |
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| 摘 要： | 首先建立带有改进的典型交易成本函数的MCvar投资组合模型,同时给出了求解该模型的基于相关性粒子群算法的具体步骤.然后选取A股市场上的三只股票进行了一组数值实验.通过对数值计算的结果分析表明算法有效可行.最后对下一步有待解决的问题提出了几点思考.
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| 关 键 词： | Cvar 交易成本函数 最优化模型 |
A Model of Mcvar with a Improved Typical Transaction Cost Function and its Empirical Analysis |
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| Abstract: | Firstly,a model of MCvar with a improved typical transaction costs is put forward in this paper.Meanwhile,it provides detailed steps of the model,based on correlative particle swarm optimization algorithm.Secondly,Numerical experiments for the model of three assets in A stock market are carried out.The results of numerical tests indicate that the algorithm is feasible and effective.Finally,several suggestions on the next step to be resolved are put forward in this thesis. |
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| Keywords: | Cvar transaction cost function optimization model |
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