欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
如何构建合理实用的投资组合优化模型并能快速求解，一直是金融最优化领域关注的热点问题．本文提出了一种新的金融投资模型-多因子结构下的静态MV模型，并对此模型进行了详细研究，得到了不允许卖空情况下的解析最优解，推广了现有单因子模型情况下的结论．新模型与解法克服了现有文献中对投资权重的选择缺乏科学性和可操作性不强等缺点，且适用于我国的金融市场体制．
英文摘要：
How to construct a reasonable and practical portfolio optimization model and solve it quickly has been a key issue in financial optimization. This paper presents a new portfolio selection model--the static MV-type model under the multi-factor model, which is then studied in detail. The explicit optimal solution is derived under the no-short selling constraint, which significantly improve the conclusions got under the single-factor model. Our new model and solution method overcome current methods＇ shortcomings such as the lack of scientific foundation and difficulty in implementation. The obtained conclusion can be directly applied to Chinese stock markets.
同期刊论文项目
同项目期刊论文
Continuity of the optimal value function and optimal solutions of parametric mixed-integer quadratic
Parameter estimation of a multistate model for an aging piece of equipment under condition-based mai
A comparative study for content-based dynamic spam classification using four machine learning algori
A critical global convergence analysis of recurrent neural networks with general projection mappings
Study on the interrelation of efficient portfolios and their frontier under distribution and various
期刊信息
位置：