[1]康志林.均值-绝对离差投资组合修正模型[J].华侨大学学报(自然科学版),2013,34(6):710-715.[doi:10.11830/ISSN.1000-5013.2013.06.0710]
　KANG Zhi-lin.A Portfolio Choice Model Based on the Modified Mean-Absolute Deviation[J].Journal of Huaqiao University(Natural Science),2013,34(6):710-715.[doi:10.11830/ISSN.1000-5013.2013.06.0710]
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均值-绝对离差投资组合修正模型()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第34卷
期数:
2013年第6期
页码:
710-715
栏目:
出版日期:
2013-11-20

文章信息/Info

Title:
A Portfolio Choice Model Based on the Modified Mean-Absolute Deviation
文章编号:
1000-5013(2013)06-0710-06
作者:
康志林
华侨大学 数学科学学院, 福建 泉州 362021
Author(s):
KANG Zhi-lin
School of Mathematical Sciences, Huaqiao University, Quanzhou 362021, China
关键词:
绝对离差;  收益权值;  基数约束;  有效前沿
Keywords:
mean-absolute deviation;  income weights;  cardinality constraint;  efficient frontier
分类号:
O221;F831.5;O213
DOI:
10.11830/ISSN.1000-5013.2013.06.0710
文献标志码:
A
摘要:
针对投资者对不同收益率资产的偏好,通过引入收益权值系数,直接对各证券的收益离差进行非对称影响分析,重构均值-绝对离差(MAD)投资组合模型,并将模型转换为线性规划.最后,利用LINGO软件对修正MAD模型进行分析,提供投资者更多样化之投资组合选择.
Abstract:
This paper presents a portfolio choice model based on mean-absolute deviation under the different market investment constraint. Considering the investor’s preference for the rate of return of assets, we develop the modified mean-absolute deviation(MAD)model through the introduction of the income weights and transform it into a linear programming. Finally, we propose alternative choices to the decision makers by the analysis of modified MAD model through LINGO software.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期: 2012-06-19
通信作者: 康志林(1982-), 男, 讲师, 主要从事半定规划理论算法、投资组合优化的研究. E-mail: zhilin_kang@yahoo.com.cn.
基金项目: 中央高校基本科研业务费资助项目(11HZR16)
更新日期/Last Update: 2013-11-20