均值方差模型

Konno-Suzuki模型是证券组合优化均值方差模型的一个新的近似模型。H。

Konno-Suzuki Model presented by H. Konno & K. Suzuki is a new approximative model of mean-variance model of portfolio optimization .

现代投资组合理论的产生以1952年马克维茨提出均值方差模型为标志。

Mean-variance model that Harry M.Markowitz has put forward in1952 indicates the naissance of modern portfolio theory .

现代投资组合理论的先驱Markowitz提出了均值方差模型，但该模型在求解最优投资组合时却面临误差累计、模型不稳定等一系列问题。

Markowitz , the pioneer of modern portfolio theory , proposed mean-variance mode , while a series of problems such as error accumulation and model instability arised when solving optimal portfolio .

最后，利用经典的组合投资模型Markowitz均值方差模型对所选的几支股票进行投资组合决策，获得了在同等收益情况之下的更低风险，取得预想的投资效果。

Finally , utilize the classical portfolio model - the Markowitz 's mean value-variance model to make decision of portfolio from several stocks selected , have obtained lower risk under the situation of the equal income , make the investment results anticipated .

在Markowitz的均值方差模型的基础上，讨论了股票价格中偏度的重要性，并由此引出了一个同时考虑均值、方差和偏度的多目标投资组合选择模型。

This paper discussed the importance of the role of skewness in the pricing of stocks based on the mean variance model of Markowitz , and educed a multi objective portfolio selection model synchronously taking into account the mean , variance and skewness .

指数模型是人们为了简化Markowits均值方差模型的计算提出的一种既简单又很有实践意义的模型。

Mean of return ratio and Variance of return ratio are the two indexes used in the model . For simplifying the calculation , Index-model is introduced .

绝对离差风险测度模型与均值方差模型的比较研究

Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model

基于均值方差模型的最优巨灾保险计划

An Optimal Catastrophe Insurance Scheme Based on Mean Variance Model

并设计了均值方差模型，资本资产定价模型和资本资产套利模型。

The mean variance , capital rated and capital interest arbitrage are also devised .

第三章，均值方差模型协方差矩阵的灵敏度分析与模糊分析；

Part three , covariance matrix in mean-variance model is analysed with sensitivity analysis and fuzzy analysis ;

本文主要介绍了在不考虑风险因素下的收益率法和引入风险因素的马科维兹均值方差模型。

The paper mostly introduces the yield without considering risk factor and the Markowits Model which has considered risk factor .

本文研究了积极投资组合更一般的风险收益关系，提出了传统跟踪误差模型和均值方差模型的统一形式。

This paper investigates the general risk and return relationship of active portfolios , and proposes an identical model of portfolio for tracking error and mean-variance .

结果表明，在我国股票市场上，构造投资组合时，半方差模型优于均值方差模型和绝对离差模型，而绝对离差模型又优于均值方差模型。

The empirical research shows that semi-variance model is the best model in these three portfolio selection models and absolute deviation model is better than mean-variance model in China securities market .

本文利用均值方差模型，分析了有交易成本的证券投资组合的决策问题，给出了风险资产和无风险资产的最优投资比例与交易成本关系的一个有意义的结论。

The paper examines the strategy of portfolio with transaction costs in a mean - variance model , and gives a useful conclusion about a investment proportion between risky assets and risk-free asset .

但是马科维兹均值方差模型对于输入参数的变动非常敏感，从而使得资产的配置结果分散化程度低，也就很难应用于实践。

However , the traditional mean-variance model is very sensitive to the changes of input parameters , so the allocation results are less diversification , and the model is hardly put into practice .

目前，已有决策方法一般借鉴现代投资组合理论中的均值方差模型，然而，该模型关于发电商风险偏好始终一致的假设并不符合一般决策心理。

At present , using Modern Portfolio Theory ( MPT ) for reference , the Expectation-Variance ( E-V ) model is generally adopted . However , the consistent supposition of the risk preference in the E-V model does not conform to the common decision-maker 's psychology .

第四章对动态连续时间的财富的均值-方差模型指出加入机会约束和VaR约束时可能碰到并需要解决的问题。

Chapter 4 introduces the dynamic continuous time model on the basis of the continuous time Mean-Variance model and investigates the cruxes of the problem .

Markowitz的均值-方差模型表明，投资者的最优风险资产为市场投资组合。

Markowitz 's mean-variance model indicates that the optimum risk asset being the market portfolio .

首先介绍了Markowitz的均值-方差模型，并分析了该模型的不足之处。

The paper introduces the mean - variance model of Markowitz , and analyses its drawbacks .

论文的主要创新之处有：（1）将无风险资产引入投资机会约束下的均值&方差模型，（2）研究了投资机会和VaR双重约束下的投资组合问题，建立了数学模型；

First , risk-free security is introduced to the chance-constrained mean-variance model . Second , a portfolio selection model under constraints of both investment chance and VaR is established .

该模型在Markowitz均值-方差模型的基础上，加入了VaR约束，保证了与我国金融机构现有投资选择方法在技术上的一致性。

By adding VaR restrain to the Markowitz mean - variance model , this method can apply to current financial organization 's investment in better .

此后，威廉·夏普（WilliamSharpe）在马克威茨的均值-方差模型的基础上提出了著名的资本资产定价模型（CAPM）。

After that , William Sharpe put forward the famous capital assets price model ( CAPM ) based on Markowitz 's Mean - Variance model .

本文依据1973~2003年我国各省区GDP增长速度数据，运用均值-方差模型分析我国GDP增长速度与省际经济差异二者的制约关系。

This paper is based on the GDP growth rate data of our country regions during 1973 and 2003 , uses mean-variance model to analyse restriction relationship between our country growth rate of GDP and inter-provincial economic difference .

1952年，Markowitz，Harry在《资产组合选择》一文中，第一次从风险资产的收益率与风险之间的关系出发，建立了均值&方差模型，为资产定价理论奠定了坚实的基础。

In 1952 , in the " Portfolio Selection ", Markowitz , Harry established a mean - variance model from the relationship between risk and profit of risk assets for the first time .

它的基本模型有：均值-方差模型、对数效用模型和安全-首要（Safety-First）模型等。

Its basic models are the Mean-Variance Model , the Logarithm-Utility Model , the Safety-First Model and so on .

在分析均值-方差模型和VaR模型的特点及其适用范围的基础上，引入一致性金融风险测度公理，分析了该领域的研究状况，简要介绍了动态一致性风险测度的研究情况。

Firstly we analysis the properties of mean-variance model and VaR model , secondly we introduce the coherent risk measures axiom of financial markets and analysis the latest development in this area . The dynamic risk measures are also introduced .

其次介绍了风险度量的理论基础，包括VaR方法，极值理论方法，GARCH类方法，均值-方差模型及β系数法。

Secondly , to introduce the basic theory of risk measurement , it contains the method of VaR , extreme theory and the type of GARCH . the model of mean-variance and the method of beta coefficient .

Markowitz的均值&方差模型存在方差无法真实反映现实中风险大小等问题，半方差风险计量模型则弥补了这一缺陷。

Such a problem as risk degree , which can not be indicated actually in practice by variance based on Markowitz mean value-variance model , semi-variance risk measure model can remedy the defect .

本文应用马克维兹（Markowitz）均值一方差模型.分别从提高组合证券投资的收益率和降低组合证券投资的风险两个方间研究了提高组合证券投资价值的方法。

Considering raising the profit rate of portfolio and reducing the risk of portfolio , this paper studies the method of raising value of portfolio with the help of Markowitz 's model for portfolio .

第一章从Markowitz的投资组合理论出发，建构了均值一方差模型并求取了有效边界，对放宽了限制条件的模型进行了拓展。

Chapter one introduces how to construct the mean-variance model based on Markowitz 's portfolio theory . Furthermore , the efficient frontier is derived , and the mean-variance model is extended to relax the constraints .