摘要
依据Markowitz投资组合理论,引入了情境法投资组合,为投资者提供风险控制指导。对于资产组合的投资策略,该方法运用了有约束条件的非线性规划问题的Markowitz均值-方差模型,在Mathematica环境下,利用微分进化算法进行仿真求解和实证分析。实证中,采撷了2005年至2010年的有关数据,得出在预期收益下资产组合的投资可行方案,指出了Markowitz投资组合理论在实际应用中存在的若干问题及对策。
According to the Markowitz portfolio theory,this paper introduces the Situational Method portfolio to provide the Risk Management instruction guidance for investors.The Markowitz mean-variance model for the nonlinear programming with constraint is used in this method for the Investment strategy of portfolio and the simulation solution and empirical analysis are made by using the Differential Evolution algorithm in the Mathematica environment.In this empirical study.The related datas from 2005 to 2010 have been gathered and thus the feasible investment scheme for portfolio in the expected return has been obtained,accordingly the existing problems in the practical application have been put forward and countermeasures are suggested for the Markowitz portfolio theory.
出处
《黄石理工学院学报》
2012年第3期48-51,54,共5页
Journal of Huangshi Institute of Technology
基金
黄石理工学院校级科研项目(项目编号:11yjr59B)
关键词
情境
仿真
收益
风险
situation
simulation
income
risk
