摘要
本文针对马柯维茨证券投资决策模型在具体应用时的缺陷，提出基于稳健性设计的新方法。包括基于均匀设计安排内表和外表，采用信噪比度量投资方案的稳健性，并设计序贯试验进行调优运算等。实例分析说明该方法是可行的和有效的。
In this paper, we proposed a new method for robust design to overcome the defects in Markowitz model for securities investment decision. Based on the uniform design, the inner and outer array are given, the robustness of the program of securities investment is estimated by means of signal-to-noise ratio, the sequential experimentation is designed for evolutionary operation. Real examples analysis shows that our method is effective and practicable.
出处
《青岛大学学报（自然科学版）》
CAS
2001年第1期43-49,共7页
Journal of Qingdao University(Natural Science Edition)
基金
国家自然科学基金!(批号:79970114)
