上海管理科学2012，Vol.34Issue(3)：14-19,6.
考虑投资组合收益率完全分布信息的投资组合优化研究
Portfolio Optimization with Fully Distribution Information of Portfolio return
摘要
Abstract
The first four moments couldn' t determine totally the distribution of asset return, so the familiar portfolio optimization with higher moments isn' t appropriate and the portfolio optimization with fully distribution information of portfolio return should be handled for investors preferable to the certain distribution. In this paper, the method of portfolio optimization with fully distribution information of portfolio return is put forward, where the density function of portfolio return is approximated to through Gram-Charlier expansions and the distance between density function of portfolio return and objective density function is measured through KL Divergence and the Numerical example is followed.关键词
投资组合优化/完全分布信息/Gram-Charlier渐进展开Key words
Portfolio optimization/ Fully distribution information/ Gram-Charlier expansions分类
管理科学引用本文复制引用
彭胜志,王福胜..考虑投资组合收益率完全分布信息的投资组合优化研究[J].上海管理科学,2012,34(3):14-19,6.基金项目
教育部人文社会科学研究青年基金项目(12YJC790150) （12YJC790150）
