收益率服从非正态分布的组合投资选择模型

Portfolio Investment Model with Nonormal Distribution Return Rate

提出一种新的考虑投资收益率为非正态分布的组合投资选择模型。将实现预期收益的概率作为目标函数,通过计算目标函数的前4阶统计矩,利用Edgeworth展式来逼近目标函数。在此基础上,得到了概率证券组合投资模型的确定性等价模型,并指出新的模型实际上包含了收益率为正态分布的情况。

A new portfolio investment model with nonormal distribution return rate was presented. Probability of the return rate of portfolio was defined as objective function of optimal problem. Edgeworth expansion was used to approach to the objective function after the first four order moments of the objective function are obtained. On the basis of that, deterministic equivalent model of probable investment model was set up, and it was found that the new model concludes case of normal distribution return rate.