[1]王明涛,王秋红..基于下偏矩的资源配置优化模型求解方法研究[J].郑州大学学报(工学版),2001,22(04):38-42.[doi:10.3969/j.issn.1671-6833.2001.04.011]
 Wang Mingtao,Wang Qiuhong.Research on the solution method of resource allocation optimization model based on downward bias moment[J].Journal of Zhengzhou University (Engineering Science),2001,22(04):38-42.[doi:10.3969/j.issn.1671-6833.2001.04.011]
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基于下偏矩的资源配置优化模型求解方法研究()
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《郑州大学学报(工学版)》[ISSN:1671-6833/CN:41-1339/T]

卷:
22
期数:
2001年04期
页码:
38-42
栏目:
出版日期:
1900-01-01

文章信息/Info

Title:
Research on the solution method of resource allocation optimization model based on downward bias moment
作者:
王明涛王秋红.
上海财经大学证券期货学院,, 华北水利水电学院动力工程系,
Author(s):
Wang Mingtao; Wang Qiuhong
关键词:
下偏矩 资源配置优化模型 求解方法
Keywords:
DOI:
10.3969/j.issn.1671-6833.2001.04.011
文献标志码:
A
摘要:
在证券投资理论中,投资风险是以收益率的方差计量的,尽管以方差计量风险计算简单,但有一些严格假设,这些假设往往与实际不符.以下偏矩作为风险计量指标,在理论上克服了方差的不足,但以下偏矩为目标函数的资源配置优化模型求解复杂,从而制约了下偏矩在实际中的应用.针对Harlow均值-下偏矩资源配置优化模型求解的困难,通过恰当变换,得到了该模型的转换形式,此转换模型不但求解容易,而且能得到相应证券组合的下偏矩统计量精确值,为下偏矩在投资分析中的应用提供了简便易行的方法.
Abstract:
In portfolio investment theory, investment risk is measured in terms of variance in yield, and although calculating risk measured in variance is simple, there are some strict assumptions that often do not correspond to reality. The following partial moment is used as a risk measurement index, which overcomes the deficiency of variance in theory, but the following partial moment is a complex solution for the resource allocation optimization model of the objective function, which restricts the application of the lower partial moment in practice. Aiming at the difficulty of solving the Harlow mean-lower partial moment resource allocation optimization model, the conversion form of the model is obtained through appropriate transformation, which is not only easy to solve, but also can obtain the accurate value of the lower bias moment statistic of the corresponding securities combination, which provides a simple and easy method for the application of the lower bias moment in investment analysis.

更新日期/Last Update: 1900-01-01