Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
为了解决当前图像复原算法难以兼顾纹理与精细边缘的不足,提出了局部加权高斯-SAR联合先验模型的图像复原算法。引入局部自回归约束,利用高斯先验,构造局部加权高斯图像先验;并联合SAR先验,设计了高斯-联合先验模型,有效地防止过度平滑...为了解决当前图像复原算法难以兼顾纹理与精细边缘的不足,提出了局部加权高斯-SAR联合先验模型的图像复原算法。引入局部自回归约束,利用高斯先验,构造局部加权高斯图像先验;并联合SAR先验,设计了高斯-联合先验模型,有效地防止过度平滑;并利用图像损坏模型与高斯-联合先验,建立其(Maximizing A Posteriori);基于最小优化技术,获取其下边界,将非凸问题转成凸问题,完成图像复原。对比测试结果显示:其算法的修复效果更佳,值最高,保留了丰富纹理与精细边缘;且复原图像的梯度分布与初始图像最接近。展开更多
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
文摘为了解决当前图像复原算法难以兼顾纹理与精细边缘的不足,提出了局部加权高斯-SAR联合先验模型的图像复原算法。引入局部自回归约束,利用高斯先验,构造局部加权高斯图像先验;并联合SAR先验,设计了高斯-联合先验模型,有效地防止过度平滑;并利用图像损坏模型与高斯-联合先验,建立其(Maximizing A Posteriori);基于最小优化技术,获取其下边界,将非凸问题转成凸问题,完成图像复原。对比测试结果显示:其算法的修复效果更佳,值最高,保留了丰富纹理与精细边缘;且复原图像的梯度分布与初始图像最接近。
