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探讨了四种跟踪组合回报率与目标回报率间偏差的线性模型 ,线性偏差比传统的二次型偏差更能准确描述投资者的风险态度 ,用线性规划给出了明确的优化方案 ,并对上海证券 A股各分类资产组合作出了实证分析和比较 ,得出为达不同的投资目标投资者确定投资组合及基金管理者报酬的各种优化模型 .
The four linear models that track the deviation between the combined rate of return and the target rate of return are discussed. The linear deviation is more accurate than the traditional quadratic deviation in describing the investor’s risk attitude. The linear programming gives a definite optimization scheme. Shanghai Securities A share of the various sub-asset portfolio made an empirical analysis and comparison, come to different investment objectives for investors to determine the portfolio and fund managers pay various optimization model.