天津商业大学学报
天津商業大學學報
천진상업대학학보
Journal of Tianjin University of Commerce
2008年
2期
3~6
,共null页
半方差 多目标规划 确定性等价回报率
半方差 多目標規劃 確定性等價迴報率
반방차 다목표규화 학정성등개회보솔
semi-variance ; multi-objective programming ; certain equivalent rate of returns
本文在对收益与风险分析的基础上,利用半方差计量风险,克服了以往研究的不足,提出了基于半方差的收益与风险优化模型;模型的求解采用确定性等价回报的方法,更加符合投资者的实际,这为证券投资优化提供了一种新的方法,并有一定的应用价值。
本文在對收益與風險分析的基礎上,利用半方差計量風險,剋服瞭以往研究的不足,提齣瞭基于半方差的收益與風險優化模型;模型的求解採用確定性等價迴報的方法,更加符閤投資者的實際,這為證券投資優化提供瞭一種新的方法,併有一定的應用價值。
본문재대수익여풍험분석적기출상,이용반방차계량풍험,극복료이왕연구적불족,제출료기우반방차적수익여풍험우화모형;모형적구해채용학정성등개회보적방법,경가부합투자자적실제,저위증권투자우화제공료일충신적방법,병유일정적응용개치。
Based on the analysis of the relationship between returns and risks of portfolio investment, the paper applies the method of semi-variance to the evaluation of risks and makes an optimal model of returns and risks ,which overcomes the shortcomings of the studies we have known about. The paper applies the method of certain equivalent rate of returns to the solution to the model, which accords with the investors' true thoughts. This method gives a new line to achieve the optimization of portfolio investment and is of some practical value.