| Markowitz投资组合模型的最小二乘算法 |
| |
| 引用本文： | 刘永辉,陈益鑫.Markowitz投资组合模型的最小二乘算法[J].上海金融学院学报,2010(4):59-66. |
| |
| 作者姓名： | 刘永辉 陈益鑫 |
| |
| 作者单位： | 1. 上海金融学院,上海,201209
2. 中国银行济南分行,山东济南,250014 |
| |
| 基金项目： | 上海市自然科学基金项目，上海市人才发展资金计划，上海市教委重点学科建设项目 |
| |
| 摘 要： | 本文从一个新的视角来研究Markowitz均值—方差模型。通过将Markowitz均值—方差模型表述为约束最小二乘问题,继而使用约束最小二乘问题的算法研究了协方差矩阵正定和半正定时模型的求解问题,我们给出了计算投资组合有效前沿及最小方差组合的新算法。实证分析表明：最小二乘算法在计算稳定和计算速度方面优于传统算法。
|
| 关 键 词： | Markowitz均值—方差模型 最小二乘算法 |
The Least-squares Algorithm for Markowitz Portfolio Model |
| |
| Liu Yonghui,Chen Yixin.The Least-squares Algorithm for Markowitz Portfolio Model[J].Journal of Shanhai Finance University,2010(4):59-66. |
| |
| Authors: | Liu Yonghui Chen Yixin |
| |
| Institution: | Liu Yonghui, Chen Yixin |
| |
| Abstract: | In this paper, a new method is proposed to solve Markowitz＇s Mean-Variance model. By changing Mean-Variance model into Least-squares problem, and then applying constrained Least—squares Algorithm to investigate optimal Mean-Variance portfolio with Positive and Semi-Positive Variance—Covariance matrix, we give an algorithm to compute the efficient frontier and optimal portfolio. Some examples are given to illustrate Least-squares algorithm is better than traditional algorithm in algorithm’s stable and algorithm’s speed. |
| |
| Keywords: | Markowitz Mean-variance Model least-squares algorithm |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
