方差和VaR是两种传统的风险度量方法,论文(***, Portfolio selection with a new definition of risk, European Journal of Operational Research 2008, 186, 351-357)中,作者提出了一种新的风险度量方法-风险曲线.相对于传统的风险度...
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方差和VaR是两种传统的风险度量方法,论文(***, Portfolio selection with a new definition of risk, European Journal of Operational Research 2008, 186, 351-357)中,作者提出了一种新的风险度量方法-风险曲线.相对于传统的风险度量方法,风险曲线更直观、更全面地刻画了投资者可能遭受到的损失,作者基于风险曲线,进一步提出了置信曲线的概念,并提出了一种新的均值-风险投资组合选择模型.本文在上述论文理论研究的基础上分析了如何在现实投资中很好的应用均值-风险模型的问题,提出以沪深300指数的风险曲线作为标杆,经过合理的调整确定出投资者的置信曲线,进而利用均值-风险模型理论,通过现有软件工具,设计出优于沪深300指数的投资组合.
本文详细讨论了风险曲线及均值-风险模型在现实投资组合中的应用问题。提出可以将沪深300指数的风险水平作为基准风险水平，并以此为基准给出了投资者的置信曲线。本文从证券市场取值，应用Excel和Matlab进行了证券投资的最优投资组合，显示出均值-风险模型不仅在理论上丰富了投资组合理论，为投资者提供了一种新的投资组合的构建方法，而且在现实中具有很强的可操作性，投资者可以方便地利用现有软件工具进行证券选择以及证券投资产品的设计。
This paper extends the problem of general non-parametric linear rank tests in the case where the available samples of observations are imprecise and the level of significance is also a fuzzy *** do this,the usual conc...
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This paper extends the problem of general non-parametric linear rank tests in the case where the available samples of observations are imprecise and the level of significance is also a fuzzy *** do this,the usual concepts of test statistic, and critical value are extended to the fuzzy test statistic and fuzzy critical value,by using the a-cuts *** paper also provides an example to clarify the approach in this paper.
This paper first will give a new uncertainty space,some new convergence concepts of uncertain sequence are then introduced and the relationship among these convergence concepts are investigated.
This paper first will give a new uncertainty space,some new convergence concepts of uncertain sequence are then introduced and the relationship among these convergence concepts are investigated.
There are four ranking criteria of uncertain variable in uncertainty *** paper introduces the concept of utility criterion and discusses relations between utility criterion and the ranking *** related theorems and som...
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There are four ranking criteria of uncertain variable in uncertainty *** paper introduces the concept of utility criterion and discusses relations between utility criterion and the ranking *** related theorems and some counter examples are given in this paper.
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