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在分析Jia&D yer的风险-价值理论基础上,给出了一个基于预先给定的目标收益的非对称线性风险函数.该风险函数是低于参考点的离差和高于参考点的离差的加权和,它利用一阶“上偏矩”来修正一阶下偏矩,进一步建立了在此非对称风险函数下的线性规划证券投资组合模型;并证明了该模型与二阶随机占优准则的一致性;最后通过上海证券市场的实际数据验证了该模型的有效性和实用性.
Based on the analysis of Jia & Dyer’s risk-value theory, an asymmetric linear risk function based on a given target return is given. The risk function is the deviation below the reference point and the deviation above the reference point Which uses the first order “upper bias moment” to correct the first order partial bias and further builds the linear programming portfolio portfolio under this asymmetric risk function. It also proves that this model is compatible with the second-order stochastic accounting The consistency of optimal rules; Finally, the actual data of Shanghai stock market verify the validity and practicability of the model.