组合投资

基于H∞状态反馈控制的证券组合投资策略

The strategy of Portfolio Investment Based on H_ ∞ Control with State Feedback

M-V证券组合投资决策的风险厌恶模型

A Risk Aversion Model for Decision of M-V Portfolio Investment

组合投资双目标概率准则模型及GASSII算法求解

Probability Criterion Model for Portfolio Selection and Its Solution Using GASS II

假设给定一个可接受的VaR，如何确定一组给定证券的组合投资的最大收益，并且同时满足的约束条件。

Given an accepted VaR , how to determine maximum profits of stock investment combination and satisfy constraint condition ?

因子多元GARCH模型在资产组合投资决策中的应用

Application of Multivariate Factor-GARCH Model in the Decision-making of Portfolio

在Black-Scholes金融市场设置下，利用Roy提出的安全第一（SafetyFirst）准则，导出了最优常数再调整资产组合投资策略的显式表达式。

In a Black-Scholes setting , we obtain closed-form explicit solutions of the best constant-rebalanced portfolios .

不同时间段数据同时建模的GMDH证券组合投资预期收益模型

Different Time Intervals GMDH Security Combinatorial Investment Prospective Proceeds Model

第二章阐述了组合投资的理论和方法，包括组合理论中常用的一些基本概念，其中一些概念来源于统计学，并且介绍了按照Erσ准则，如何选择最佳投资组合，确定有效边界。

The second chapter explains portfolio theory , focusing on its basic concepts & methods . According as the rules of Er_ a , select the best portfolio of investment and confirm efficient portfolio .

在这一新的模型和性能指标的基础上，运用离散时变系统的H∞状态反馈控制理论，得到了证券组合投资的H∞状态反馈控制策略。

Based on the new model and the performable index , the H_ ∞ control theory with state feedback for time-varying discrete systems was applied , and a strategy of H_ ∞ control with state feedback for portfolio investment was also given .

E-Sh风险下的证券组合投资多目标决策模型

Multiple objective decision-making model for portfolio investment under the E-Sh risk measure

本文以Markowitz证券组合投资理论为基础，运用目标规划的方法建立一种新的证券组合投资决策模型。

Based on the portfolio investment theory of Markowitz , this paper provides a new model for the decisions of portfolio selection with the help of goal programming .

第四章重点介绍了Markowitz组合投资理论的两种模型：均等投资比例模型和非均等投资比例模型。

Chapter IV is focusing on portfolio theory of Markowitz which consists of two models . They are equal proportions of investment model and non-equal ratio of investment model .

1952年，美国经济学家、诺贝尔奖获得者Markowitz提出了证券组合投资模型，标志着现代组合投资理论的面世。

In 1952 , Markowitz who was an economist in America presented Mean-Variance model for the portfolio investment , which indicated that the modern theory of the portfolio investment had come out .

本文以风险度量的不同方法为主线，分别提出了E-V模型、E-Sh模型和基于VaR的证券组合投资决策模型。

Risk , as an uncertain phenomenon , can be described by different methods . Based on this point , the paper proposed E-V model , E-Sh model and VaR-based model .

本文是在Markowitz现代组合投资理论的基础上，建立了组合证券投资的期望值模型，并讨论了基于随机模拟技术的遗传算法对此模型的求解。

In this paper , we construct the expected value model of portfolio investment according to the modern portfolio theory of Markowitz , and use the genetic algorithms which bases random imitating technology to solve the model .

金融风险管理是继Markowitz均值方差组合投资理论和Black-Scholes期权定价理论之后金融学历史上的第三次革命，这一领域在近年来发展迅速，形成了一套较为完整的理论体系。

Financial risk management has been advocated as the third major revolution during the history of finance , following the Markowitz portfolio theory and the Black-Scholes option pricing theory . In recent decades , we have witnessed explosive developments of this field .

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 .

改革仍在继续例如，外来组合投资的额度已适当提高，推出类似美国401-k养老金计划的方案也正在讨论之中。

Reforms continue for example , tight quotas for incoming portfolio investment have been modestly raised , and plans for 401-k style pension plans are being discussed .

本文通过比较系统的研究后，主要取得以下成果和结论：一、比较系统的研制出适合于我国证券市场的现代组合投资理论应用软件（命名为湘财组合投资分析软件，英文缩写XCPLAS）。

After a comparative and systematic study , the paper arrives at the following achievements and conclusions : I.An applied software for modern portfolio investment theory was developed ( named : Xiangeai portfolio Investment Analysis Software , abbreviation XCPLAS ), which is composed of : 1 .

选择金融资产组合投资策略的优化方法

An optimal method to selecting strategy of combined financial asset investment

用遗传算法直接搜索证券组合投资的有效边界

Study on efficient frontier in portfolio investment by using genetic algorithms

基于混合编码遗传算法的证券组合投资问题的求解

Solving the Problem of Portfolio Investment Based on Mixed-Coding Genetic Algorithms

跟踪误差下积极资产组合投资的风险约束机制

Risk Control Mechanism of Active Portfolio Investment with Tracking Error Constraints

基于连续复利的证券组合投资决策模型及其代数解法

Portfolio model and its algebraic solution based on continuous compound interest

具有交易成本的组合投资有效边界的研究

The research on efficient frontier of portfolio investment with transaction costs

资本结构变化对组合投资有效边界的影响

Impact on the Efficient Frontier of Portfolio of Varying Capital Structure

引入非凹非凸的典型交易成本函数形式，考虑分红收益提出含有典型交易成本的组合投资问题的目标规划模型。

A typical transaction cost model with no-convex-no-concave function is introduced ;

带交易费用的证券组合投资的模糊多目标优化模型

A Fuzzy Multiple Objective Optimal Model for Portfolio Investment with Transaction Costs

具有模糊系数的证券组合投资选择模型

An Optional Model of Portfolio Investment with Fuzzy - Coefficient

证券组合投资有效集与有效边界的研究

The Efficient Set and the Efficient Boundary of the Stocks Combination Investment