摘要
本文运用了G-最优混料试验设计的理论和方法对证券投资组合进行了研究,给出了两种情况下两支股票预期收益率的最大风险极小化的试验设计方法,并通过相关的定理及其证明,将两支股票的研究方法推广到多支股票的情形,最后给出了实证分析。
In this paper, we investigate portfolio investment by using G-optimal designs for mixture experiments, as well as give the experimental design methods for minimizing the maximum risk of a two-stock portfolio under two cases, and then we extend the methods of the two-stock portfolio to the multi-stock portfolio through the related theorems and their proof. Finally we give the empirical analysis.
出处
《数理统计与管理》
CSSCI
北大核心
2016年第1期142-153,共12页
Journal of Applied Statistics and Management
基金
国家自然科学基金(11271094)
关键词
混料试验设计
异方差
G-最优设计
组合投资
组合投资风险
mixture experimental design, heteroscedastic errors, G-optimal design, portfolio invest- ment, portfolio risk
