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dc.contributor.advisor陈浪南
dc.contributor.author罗英
dc.date.accessioned2016-02-14T03:27:40Z
dc.date.available2016-02-14T03:27:40Z
dc.date.issued2011-03-10 11:11:39.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/41162
dc.description.abstract资产收益交叉相关矩阵在金融理论和相当多的实践领域扮演着关键的角色。特别是,该矩阵是马科维茨组合选择理论的关键输入变量,而该组合理论无疑是现在投资理论的基石。然而,近期学术研究指出,由于相关性的时变特征和“维度灾难”问题,该矩阵具有随机矩阵的特征,其所携带的信息并非都是有关资产相关的真实信息,可能包含随机干扰噪音,影响投资组合的效率。因此,资产交叉相关的随机信息、真实信息成份研究成为近期研究热点问题。 本文采用并拓展随机矩阵理论(RandomMatrixTheory,RMT)的最新发展,研究我国股票市场资产交叉相关的随机信息和真实信息成份结构。首先,采用RMT的特征值分布和普适性质,实证检验股...
dc.description.abstractCross covariance matrices of financial returns play a crucial role in financial theory and also in many practical applications. It is the key input parameters to Markowitz’s portfolio selection problem which forms the basis of modern investment theory. Since the cross correlation between any pair of assets may not be stationary, and the “curse of dimensions” due to the finite length of time series...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=27300&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=28888
dc.subject随机矩阵
dc.subject组合理论
dc.subject交叉相关矩阵
dc.subjectRandom Matrix
dc.subjectPortfolio Theory
dc.subjectCross-correlation Matrix
dc.title股票市场资产交叉相关的随机信息与真实信息研究
dc.title.alternativeThe Information Content of Cross-correlations in Chinese Stock Market
dc.typethesis
dc.date.replied2010-12-06
dc.description.note学位:经济学博士
dc.description.note院系专业:经济学院金融系_金融学(含保险学)
dc.description.note学号:B200342003


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