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有风险偏好系数的寿险基金资产配置模型设计 被引量：2

Design of Capital Compoundation for Life Insurance Fand with Risking Preferation
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摘要 按照现代资产组合理论,寿险基金资产管理者在资产组合选择中根据资产的收益和风险进行决策。在 对Markowitz H.M的均值一方差模型改进的基础上,建立有风险偏好系数的极大极小模型,并进行可行性检验,以计 算寿险基金最佳资产配置比重。 According to the theory of modern capital combination,the manager of life insurance capital decides with the caprtal iname and risk in capital combination. On the base of improving Markowitz H ?M's balancedissimiarity model. We can establish largest or smallest model with risking preferation and inspect its wsable degree to account the best assignment of life insurance fund.
作者 苏为华 陈颖艳
机构地区 杭州商学院统计与计算机学院
出处 《安徽工业大学学报（社会科学版）》 2003年第5期37-39,共3页 Journal of Anhui University of Technology：Social Sciences
关键词 寿险基金 资产配置模型 风险偏好系数 基金管理 life insurance furd capital compoundation model risk income
分类号 F840.4 [经济管理—保险]
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共引文献32

同被引文献14

  • 1罗秋兰,陈有禄.考虑有交易成本的证券组合的有效前沿研究[J].华中科技大学学报（自然科学版）,2004,32(7):67-69. 被引量：3
  • 2H. Markowitz. Portfolio Selection[J].Journal of Finance,1952,3(7).
  • 3H. Soleimani, H. R. Golmakani, M. H. Salimi. Markowitz-based Port- folio Selection with Minimum Transaction Lots, Cardinality Con- straints and Regarding Sector Capitalization Using Genetic Algorithm [J].Expert Systems with Applications, 2009,(36).
  • 4R. Mansini, M.G. Speranza.Portfolio Selection with Fixed Costs and Minimum Transaction Lots[R].Report no. 134,Dip. Metodi Quantitati- vi, University of Brescia, Italy, 1997.
  • 5Chang-Chun Lin, Yi-Ting Liu. Genetic Algorithms for Portfolio Selec- tion Problems with Minimum Transaction Lots[J]. European Journal of Operational Research,2008,185.
  • 6H. R. Golmakani, M. Fazel. Constrained Portfolio Selection Using Par- ticle Swarm Optimization[J].Expert Systems with Applications, 2011, 38.
  • 7G. J. Alexander, A. M. Baptista. Economic Implications of Using a Mean-VaR Model for Portfolio Selection: a Comparison with Mean-Variance Analysis[J].Journal of Economic Dynamics and Con- trol, 2002,26(7).
  • 8叶其孝.国际数学模型竞赛优秀论文案例[J].大学数学,1994,15(3):102-105. 被引量：1
  • 9邵蔚,熊星.正确认识养老基金战略资产配置的重要性[J].国有资产管理,2009(12):61-65. 被引量：1
  • 10武可栋,韦增欣.基于效用最大化的投资组合模型[J].中国管理信息化,2017,20(1):119-122. 被引量：2

引证文献2

二级引证文献5

安徽工业大学学报（社会科学版）
2003年 第5期

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