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组合证券投资理论发展与统计方法的应用 总被引:1,自引:0,他引:1
组合证券投资是分散投资风险的有效途径。投资收益的高低与风险的大小,是每个投资者都必须考虑的问题。投资者总是在一定预期收益及风险水平上选择证券投资方法。通过对每种证券的期望回报率、回报率的方差和每一证券及其他证券之间回报率的相互关系来进行适当分析,辩识出有效投资组合在理论上是同行的。本文在对组合投资理论的发展进行介绍和评述的基础上,给出了统计方法在组合证券投资中的应用。 相似文献
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基于效用最大化的投资组合旋转算法研究 总被引:11,自引:0,他引:11
文章综合考虑投资组合的期望收益率和风险(方差),提出了基于效用最大化的投资组合模型,并用线性不等式组的旋转算法进行求解.计算结果表明,在允许卖空的情况下,风险偏好系数能够在整个变化范围内较好地反映投资者的期望收益率,而在不允许卖空情况下,风险偏好系数只能在某个区间起作用.因此,投资者应结合自己的风险偏好和投资组合的期望收益率作出决策.文章运用自编程序能够很快地计算出各种不同的风险偏好系数所对应的有效投资组合,以帮助投资者得到最优投资策略.所运用的线性不等式组的一种旋转算法避免了通常处理二次规划问题所需的松弛变量、剩余变量和人工变量,操作简便、计算效率高. 相似文献
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一、风险最小投资组合模型的建立
1.房地产投资组合的收益与风险。
(1)投资组合的期望收益率。
投资组合期望收益率E(RP)可定义为组合中各投资项目期望收益率的加权平均。设E(Ri)为第i类房地产投资的期望收益率; 相似文献
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国际投资组合选择理论研究的是在一定的假设条件下,当经济实现均衡时,投资者所应持有的本国与外国金融资产的比例。它的发展有5个特征:从追求金融市场的局部均衡到追求经济的一般均衡;从不考虑投资者的存在到考虑投资者个人效用的最大化;从单纯的理论模型构建到结合现实数据进行实证检验;从假设金融市场完全到考虑金融市场不完全的情况;从假设金融市场一体化到考虑金融市场存在分割的情况。 相似文献
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随着中国经济的发展和人民生活水平的提高,市场经济体制的确立和发展,增大了个人在未来生活的不确定性及风险,促使人们产生进行个人投资的需求.个人投资者在选择投资组合时要秉承"鸡蛋要放进不同篮子"的理念,达到均衡风险管理,增强投资稳定性的目的,根据自身的需要来通过组合投资的方法来减少系统风险,并追求最高的投资回报率.本文运用马科维茨理论模型,首先选取中材节能、天津港两只股票为例,来计算最优风险资产组合中各自的占比,再次引入无风险资产,将无风险资产与最优风险资产组合进行结合. 相似文献
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网络治理:理论的发展与实践的效用 总被引:2,自引:1,他引:2
网络治理作为一种新的治理形式,具有组织与过程整合的特征。网络治理研究应以中间组织理论为基础,并从三维结构扩展到四维框架,来探讨网络治理的生成环境与构建网络治理结构的理论体系。而网络治理的实践,已从关系的效用延伸至战略决策。 相似文献
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Karni Edi 《Journal of Economic Theory》1993,60(2)
This paper extends Savage′s subjective expected utility theory to include state-dependent preferences. The dependence of the decision maker′s preferences over consequences on the states of nature is represented by state-specific mappings of the set of consequences onto itself. Within this framework Savage′s postulates are reformulated and it is shown that there exist subjective expected utility representations of the preference relation over acts with unique, nonatomic, probability measure on the algebra of all events, and a state-dependent utility function over the set of consequences. Journal of Economic Literature Classification Number: D81. 相似文献
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The endowment effect, which is well documented in the contingent valuation literature, alters people's preferences according to a reference point established in an elicitation question. In particular, the utility that people place on a bundle is both a positive function of the quantities of the goods comprising the bundle, and a negative function of any loss (real or hypothetical) that the elicitation question asks them to incur. Biases such as this have lead some to reject the contingent valuation method as a means of quantifying costs and benefits in favour of other methods of preference elicitation such as standard gambles. But, most preference elicitation methods used by economists require people to express their preferences for one good in terms of their willingness to forego some of another good. Consequently, it is reasonable to expect that, and prudent to check whether, an endowment effect is also evident in other methods of preference elicitation such as von Neumann-Morgenstern's standard gambles. Internal inconsistencies in the standard gamble method from the experimental economics literature and from a study into the value of non-fatal road injuries are shown to be evidence that an endowment effect is also at work in standard gambles. 相似文献
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The notion of a mixed-strategy Nash equilibrium suffers from three inherent difficulties. First, given the equilibrium strategies of other players, there are many best replies. Second, the equilibrium is unstable. Third, comparative statics results are counterintuitive. We demonstrate that these difficulties all have their origin in von Neumann and Morgenstern′s expected utility. In contrast, players with "quadratic utility" have unique best replies and the Nash equilibrium appears to yield intuitive comparative statics results. Journal of Economic Literature Classification Number: C72. 相似文献
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证券投资风险计量理论评述 总被引:4,自引:0,他引:4
证券投资是一种高风险高收益的金融投资。自Markowitz创立投资组合理论以来,对证券投资风险计量的研究一直是金融投资研究的热点问题之一。本文对现有计量理论进行评述,并对它们之间的关系进行分析,为证券投资风险计量的进一步研究提供基础。 相似文献
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Professor Horowitz Ira 《International economic journal》2013,27(2):51-56
As a result of an oversight and narrow assumption, Kohn and Hollenhorst (1988) Derive an equation that does not hold in general and that leads to some erroneous Inferences when relied upon in Kohn (1999). The purpose of this note is to identify And clarify the problem and its source, and to draw the appropriate inferences. [D80, Q25] 相似文献
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Professor Robert E. Kohn 《International economic journal》2013,27(2):57-62
Professor Horowitz correctly identifies the limitation of my assuming separable utility functions to derive a marginal condition for efficiency under uncertainty. Correction this limitation, he provides a simple but powerful condition that encompasses the nonseparable as well as the separable case. This condition replaces the dubious Equation (14) derived in Kohn (1999). In a departure from von Neumann-Morgenstern theory, for cases in which the decisions of a risk-averse community are compared with those it would make were it risk-neutral, it is proposed here that the same utility function holds for risk-neutrality as for risk-aversion, but that the stochastic quantities be replaced by their expected value in the former. [Q25] 相似文献
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证券投资组合理论在中国的运用 总被引:2,自引:0,他引:2
马崇明 《中南财经政法大学学报》2001,(3):76-79
本文分析了建立现代证券投资组合(Portfolio)理论的基本假设,对假设中的市场效率,风测度,参数估计时效性,零交易费用等,提出了马科维茨(Markowitz)证券组合理论在我国运用存在的主要问题,并对组合证券投资优化模型的改进提出了自己的思路。 相似文献