摘要
在一种新的投资组合选择原理———极大极小原理的基础上,提出了一种新的投资组合选择模型;在市场因素多变的情况下,假设有t种可能的市场情况,最大化这t种市场情况的最小可能预期收益率,并考虑交易成本这种摩擦;然后用极大熵算法给出了这一问题的数值解法,最后用一个实例来验证这一方法的有效性.
A new portfolio selection model is proposed on the basis of a new portfolio selection theory, namely the maximin theory. Under the various market environments, it is supposed that there are t possible market environments. The minimum possible expected income rate of these t possible market environments is maximized, considering the attrition of transaction cost. Then a numerical method for this maximin problem is given by using the maximum entropy technology. Finally a numerical example is given to test the proposed method.
出处
《上海理工大学学报》
EI
CAS
北大核心
2006年第1期27-30,共4页
Journal of University of Shanghai For Science and Technology
基金
上海市教育委员会重点资助项目(04EA01)
上海市重点学科建设资助项目(T0502)
关键词
系统优化
证券选择
极小极大问题
极大熵
交易成本
system, optimization
portfolio selection
minimax problem
maximum entropy
transaction cost
