Mean-variance相关论文
We consider a simple supply chain with one retailer and one supplier.The retailer is working capital constrained and in ......
This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks.Firstly,from the per......
本文通过对荣华二采区10...
MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZ
为探究吕家坨井田地质构造格局,根据钻孔勘探资料,采用分形理论和趋势面分析方法,研究了井田7......
In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset......
本文考察在连续时间情形下，一类跨国（主要研究两国之间）证券投资组合在均值一方差（M-V）优化准则下的最优投资策略（u^＊（t）），并进一步对该投资组......
本文研究了保险市场上的均值-方差组合选择问题.本文利用线性二次控制理论,得到了最优策略和有效的均值-方差边界的显示解.......
基于开放式基金的运行机制,对其最优投资组合问题建立了单阶段均值-方差模型,在赎回准备金有固定的比例的前提下,就是否存在无风险......
提出了不允许卖空情况下终期财富最大化的多阶段均值-方差投资组合模型,其目标函数不具有可分离性。将该模型嵌入到一个辅助模型中......
A novel hybrid algorithm based on a harmony search and artificial bee colony for solving a portfolio
Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety o......
证券投资组合决策时会受到个人的或客观的重大因素的影响。考虑到决策时的这些因素，引入参数和贝叶斯理论，对终端财富增长倍数的期望......
研究了连续时间动态均值一方差投资组合选择问题．假设风险资产价格服从跳跃一扩散过程且具有卖空约束．投资者的目标是在给定期望终止......
基于vaR银行资本优化模型分析表明：银行的资产风险回报与信贷投资的收益率、金融组合投资风险回报率以及拆借市场的隔夜拆借利率呈......
本文在指出王辉等人的<投资组合风险的分散化研究>一文中出现的错误的基础上,根据资本资产定价模型(CAPM)将组合投资的风险分离为......
In this paper we generalize the single-period Markowitz Mean-Variance portfolio selection problem. The Markowitz’s mode......
We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired......
针对一个风险规避型零售商和一个风险中性制造商组成的供应链,考虑消费者服务"搭便车"行为,构建单渠道和零售商双渠道下零售商主导......
