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l1优化在网格去噪中的应用
  • ISSN号：1006-8961
  • 期刊名称：《中国图象图形学报》
  • 分类：O224[理学—运筹学与控制论;理学—数学]
  • 作者机构：大连理工大学数学科学学院,辽宁大连116024
  • 相关基金：国家自然科学基金资助项目（11171051,重大计划91230103）; 中央高校基本科研业务费专项资金资助项目（DUT15RC（3）037）
作者： 王鹏[1], 王胜法[2,3], 曹俊杰[1], 李楠楠[1], 李波[4], 苏志勋[1]
关键词： 投资组合优化模型, 最优投资组合, 有效边界, portfolio optimization model, optimal portfolio, efficient frontier
中文摘要：

讨论了均值-VaR、均值-AVaR、方差-均值比等风险-收益投资组合优化模型的最优解的有效性.基于Markowitz均值-方差模型和有效边界理论,证明了如果各模型的最优投资组合存在,则一定位于均值-方差有效边界上.计算了各投资组合模型最优解处的均值和标准差,根据计算结果讨论了各模型的最优投资组合在有效边界上的位置.特别地,均值-VaR模型的最优投资组合在有效边界上的位置与置信水平有关.

英文摘要：

The validities of the optimal solutions of reward-risk portfolio optimization models are discussed,such as mean-VaR model,mean-AVaR model,mean-variance ratio model,etc..It is proved that based on Markowitz mean-variance model and efficient frontier theory,if the optimal portfolios exist,they must be located on the efficient frontier of mean-variance.The mean and standard deviation of these models＇ optimal solutions are calculated.According to the calculated results, the relative location of the optimal portfolios on the efficient frontier is discussed. Particularly,the location of mean-VaR model＇s optimal portfolio on the efficient frontier varies with confidence levels.

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期刊信息
  • 《数码影像》
  • 主管单位:
  • 主办单位:中国图象图形学学会 中科院遥感所 北京应用物理与计算数学研究所
  • 主编：
  • 地址：北京市海淀区花园路6号
  • 邮编：100088
  • 邮箱：
  • 电话：010-86211360 62378784
  • 国际标准刊号：ISSN：1006-8961
  • 国内统一刊号：ISSN：11-3758/TB
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 被引量:0