系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2011年
9期
1628~1634
,共null页
参数不确定 偏度 投资组合 多维偏正态分布
參數不確定 偏度 投資組閤 多維偏正態分佈
삼수불학정 편도 투자조합 다유편정태분포
parameter uncertainty; skewness; portfolio; multivariate skew-normal distributions
考虑到传统投资组合理论的局限,为了解决参数不确定问题,提高投资组合效用,应用贝叶斯理论,在多维有偏分布基础上讨论了考虑偏度的投资组合问题,通过对期望效用函数的Taylor展开,分析了各阶矩风险与期望效用函数的关系.应用MCMC方法和数值优化方法对有偏正态分布进行了参数估计和投资组合权重的计算.研究结果表明,应用贝叶斯理论解决参数不确定问题,可以提高投资者期望效用,考虑期望收益,方差以及偏度不确定性会对投资组合策略产生重要的影响.
攷慮到傳統投資組閤理論的跼限,為瞭解決參數不確定問題,提高投資組閤效用,應用貝葉斯理論,在多維有偏分佈基礎上討論瞭攷慮偏度的投資組閤問題,通過對期望效用函數的Taylor展開,分析瞭各階矩風險與期望效用函數的關繫.應用MCMC方法和數值優化方法對有偏正態分佈進行瞭參數估計和投資組閤權重的計算.研究結果錶明,應用貝葉斯理論解決參數不確定問題,可以提高投資者期望效用,攷慮期望收益,方差以及偏度不確定性會對投資組閤策略產生重要的影響.
고필도전통투자조합이론적국한,위료해결삼수불학정문제,제고투자조합효용,응용패협사이론,재다유유편분포기출상토론료고필편도적투자조합문제,통과대기망효용함수적Taylor전개,분석료각계구풍험여기망효용함수적관계.응용MCMC방법화수치우화방법대유편정태분포진행료삼수고계화투자조합권중적계산.연구결과표명,응용패협사이론해결삼수불학정문제,가이제고투자자기망효용,고필기망수익,방차이급편도불학정성회대투자조합책략산생중요적영향.
Given the limitation of traditional portfolio theory,portfolio model using a Bayesian decision theory and skew-normal distributions was proposed to solve the problem of parameter uncertainty and improve utility of portfolio.Then,based on Taylor series expansion of expected utility,we analysed the relationship between the higher moment risk and utility,and employed the MCMC and numerical optimization algorithm which estimated the parameters of skew-normal distributions and the weights of portfolio.Our results suggest that expected utility can be improved using Bayesian Theory which solves the problem of parameter uncertainty.Further,it is important to incorporate mean,variance and skewness in portfolio selection strategy.
