基于非正态稳定分布的均值—尺度参数多期投资组合模型

A Mean-scale Parameter Multi-period Portfolio Section Model Based on Non-normal Stable Distributions

在非正态稳定分布条件下研究了包含多个风险证券和一个无风险证券时的多期投资组合.与传统模型相比,其不同之处在于用最终资产量度量收益,以最终资产的尺度参数度量风险,建立了收益率—风险占优框架下的最优投资组合的均值—尺度参数模型,给出了该模型尺度参数的表达式,并对该模型的求解以及应用条件进行了分析.

A multi-period portfolio section model in financial market is studied under the condition of non-normal stable distributions. The difference from the traditional models is that it uses the final assets to measure the return and uses the scale parameter of the final assets to measure the risk. A new optimal portfolio model is given under the framework of return-risk dominant.mean-scale parameter model. The expression of the scale parameter of the model is derived, and the solution and applicable conditions of the model are analyzed.