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dc.contributor.advisor陈灯塔
dc.contributor.author邓颖玲
dc.date.accessioned2016-02-14T08:08:34Z
dc.date.available2016-02-14T08:08:34Z
dc.date.issued2012-06-19 17:15:47.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/49518
dc.description.abstract虽然Markowitz的均值—方差最优化投资组合优化模型如今仍具有重要的理论地位和实用价值,但也存在为大家所熟知的模型参数估计误差问题。因此,出现了关于如何构建最优的投资组合优化模型的大量研究,产生了许多有效的投资组合优化模型。本文在分析对比了已有的各种组合模型的基础上,给出了三组合加权平均的组合模型,并在中国证券市场上对各种组合模型进行了实证比较与分析。 本文与以往研究不同之处在于:首先,本文在求解样本外期望效用时不同于以往研究固定各证券权重不变,而是将最优权重设定为持股比例;其次,本文在两组合加权平均组合模型的实证过程中,采用的是真实最优的加权平均权重,而不是估计的权重,解决了加权平均权...
dc.description.abstractThe modern portfolio theory is pioneered by Markowitz (1952) and the mean-variance model is still the major model used in practice today. However, since the true model parameters are unknown and have to be estimated from the data, resulting in the well-known estimation risk. To address this problem, many study provided sophisticated portfolio models. This paper compares and studies the models, als...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=31783&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=33679
dc.subject投资组合
dc.subject估计误差
dc.subject实证分析
dc.subjectPortfolio Optimization Model
dc.subjectEstimation Risk
dc.subjectEmpirical Analysis
dc.title投资组合优化模型实证比较与分析
dc.title.alternativeEmpirical Comparison and Analysis of Portfolio Optimization Models
dc.typethesis
dc.date.replied2012-05-04
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_金融学(含保险学)
dc.description.note学号:27720091152399


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