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基于模糊收益率的分散化投资组合调整策略 被引量:3
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作者 杨兴雨 刘伟龙 +1 位作者 井明月 张永 《广东工业大学学报》 CAS 2020年第5期13-21,共9页
投资组合选择是量化金融领域的核心问题之一。本文研究模糊环境下考虑交易费用和基数约束的分散化投资组合调整问题。首先,将风险资产的收益率视为模糊变量,通过建立一个模糊收益率拟合模型,确定了各资产收益率的模糊分布。其次,通过提... 投资组合选择是量化金融领域的核心问题之一。本文研究模糊环境下考虑交易费用和基数约束的分散化投资组合调整问题。首先,将风险资产的收益率视为模糊变量,通过建立一个模糊收益率拟合模型,确定了各资产收益率的模糊分布。其次,通过提出一个新的分散化测度,建立了模糊均值-下半方差-分散化投资组合调整模型。然后,设计了一个改进的遗传算法对模型进行求解。最后,选取真实的股票数据进行实例分析。结果表明所提出的策略优于传统的投资组合调整策略。 展开更多
关键词 模糊投资组合模型 模糊收益率拟合 分散化测度 改进的遗传算法
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Solubility prediction of disperse dyes in supercritical carbon dioxide and ethanol as co-solvent using neural network 被引量:6
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作者 Ahmad KhazaiePoul M. Soleimani S. Salahi 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2016年第4期491-498,共8页
Nowadays artificial neural networkS (ANNs) with strong ability have been applied widely for prediction of non- linear phenomenon. In this work an optimized ANN with 7 inputs that consist of temperature, pressure, cr... Nowadays artificial neural networkS (ANNs) with strong ability have been applied widely for prediction of non- linear phenomenon. In this work an optimized ANN with 7 inputs that consist of temperature, pressure, critical temperature, critical pressure, density, molecular weight and acentric factor has been used for solubility predic- tion of three disperse dyes in supercritical carbon dioxide (SC-C02) and ethanol as co-solvent. It was shown how a multi-layer perceptron network can be trained to represent the solubility of disperse dyes in SC-C02. Numeric Sensitivity Analysis and Garson equation were utilized to find out the degree of effectiveness of different input variables on the efficiency of the proposed model. Results showed that our proposed ANN model has correlation coefficient, Nash-Sutcliffe model efficiency coefficient and discrepancy ratio about 0.998, 0.992, and 1.053 respectively. 展开更多
关键词 SolubilityDisperse dyesSupercritical carbon dioxideNeural networksCo-solvent
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