证券组合

本文的重点就是应用广义ES来做证券组合的优化。

The focus of this article is to do Portfolio optimization based on the generalized ES .

这种模型反映了投资者对于证券组合的期望收益率要求达到某一值，同时要求在一定置信度下，证券组合潜在的最大可能损失不超过VaR。

This model reflected that expected return ( rate ) of portfolio attain some a value , meanwhile we request the highest possible loss ( should ) be ensured not to exceed VaR.

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

新增k种资产与前n种不相关时证券组合前沿的漂移问题

A Study of Shifting Movement of Portfolio Frontier with k New Increased Securities Uncorrelated to the n Former Securities

基于遗传算法的VaR约束下证券组合模型仿真

Computer Simulation Based on Genetic Algorithm for Solving Portfolio Problem with VaR Constraint

概率准则意义下基于VaR的证券组合模型遗传算法优化仿真

An Optimum-simulation-based Genetic Algorithm for Solving VaR-aimed Portfolio Investment Problem With Probability Criterion

具有VaR约束和无风险投资的证券组合选择方法

An Optimal Portfolio Selection Model Under Constraints of Both VaR and Risk-free Investment

证券组合的Markov链模型

Markov chain model of portfolio

首先，在允许卖空的情况下，第一次给出了评价证券组合优劣的H值准则，然后在H值意义下进行优良证券组合的筛选。

Firstly , H-value rule which can evaluate quality of portfolio was given under the condition of permitting short-sailing for the first time .

提出具有VaR约束和存在无风险投资或贷款的证券组合优化模型。

Present a portfolio model under constraints of both VaR and free-risk investment or free-risk loan .

指数证券组合模拟市场指数的聚类和MTV方法

Cluster and MTV Approach for Making Index Portfolio

应用Markowitz资产组合理论，建立了证券组合投资的多目标规划模型。

By using Markowitz 's portfolio investment theory , the multi-objective programming is built .

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

VaR是一种在市场正常波动情形下对证券组合的可能损失进行统计测度的风险测量方法。

Value at Risk is an important method of risk management , which can measure possible exposure of a given portfolio of securities in financial markets .

资产投资理论最早是由证券组合理论公认的创始者、美国著名经济学家哈里·马科维茨（HarryMarkowitz）于1952年系统的提出。

Asset investment theory was first used by well-known American economist Harry Markowitz who the founder of portfolio theory systematic proposed in 1952 .

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

M-V证券组合模型的修正模型

Modified Models of Mean - Variance Portfolio Model

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 .

1952年，美国经济学家、金融学家Harry·m·Markowitz发表的《证券组合选择》标志着现代证券组合理论的开端。

In 1952 , the American economists , financial scientist Harry · m · Markowitz published " Portfolio Selection " and it symbolized the beginning of modern equity portfolio theory .

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 .

基于行为证券组合理论，提出了多心理账户下ISC二级分销网络的机会约束规划模型；

Based on the behavioral portfolio theory , a programming model with chance constrains is proposed for the ISC bi-level distribution network with multiple mental accounts .

在分析Markowitz模型及其发展的基础上提出了一种新的证券组合选择模型，与Markowitz模型相比更容易实践。

An optional portfolio selection model is presented after analysing the development of Markowitz models . It is easier to be applied to practice in comparision with the markowitz models .

旨在通过建立投资者多心理账户权重的确定方法，用以改进传统的行为证券组合理论（BPT）。

It 's studied for improving the traditional behavioral portfolio theory ( BPT ) by dealing with weights of investors ' multiple mental accounts .

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 .

对于一般的（L≥2）证券组合，给出了最优策略的数值解，并对投资者风险厌恶程度、股票间相关关系对最优策略的影响进行了探讨，是以往研究的进一步深入。

For a usual portfolio , this paper gives the computational solution and has deep analysis of the effect of correlations between stocks on the optimal strategy .

马科维茨均值-方差分析是研究证券组合选择的一种基本方法，而Roy提出一种安全第一准则，该准则多出现在单阶段与多阶段证券组合选择的研究中。

The mean-variance analysis provides a fundamental approach for modern portfolio selection , the safety-first approach proposed by Roy represents another school of think the safety first criteria is used to the sigle period and muti period problems .

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 .

因此不符合股票市场实际，并缺乏可操作性。本文首先介绍了证券组合和风险度量的理论，阐述了传统的Markowitz投资理论的优点和缺点。

Therefore , it deviates the real market , and has maneuverability difficulty . Firstly , this paper introduces the theory of portfolio selection , and expounds the advantage and disadvantage of the theory of Markowitz .

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 .