基于偏态分布的投资组合优化模型

The Optimal Model for Combinatorial Investments Based on the Partial Distribution

在偏态分布概念和解析表达式的基础上 ,推导出度量和评估投资平均收益、平均利润及市场风险的基本模型和方法 ;针对投资分析要求提出了单位成本利润率的概念和估算方法 ;建立了投资组合的优化模型 ,给出了求解该模型的互反梯度法 ;最后 ,通过两个示例说明了本文所给模型及解法的正确性和实用性。

In this paper,we put forward the estimating models and the measuring methods for average income、average net profits and market risk of investment based on the concept and expression of the partial distribution;the concept and calculating formula of profit margin per unit cost are given;we build the optimal models of combinatorial investments and present the mode of reverse directions in gradient to compute the models. Finally,the correctness and the practical application of the models and the ways are shown by two examples.