重庆工商大学学报（社会科学版）Issue(1)：24-29,6.DOI:12.3969/j.issn.1672-0598.2015.01.004
均值-绝对偏差模型鲁棒优化策略的有效性--基于中国股票市场的实证分析
Analysis of the Validity for the Robust Optimization Strategy of Mean -Absolute Deviation Model Based on Chinese Stock Market
赵庆1
作者信息
- 1. 东北财经大学 研究生学院，辽宁 大连116025; 辽宁对外经贸学院 国际经贸学院，辽宁 大连116052
- 折叠
摘要
Abstract
In the uncertain financial markets, because of the difference in all kinds of the risk of financial products, how to make se⁃lection and portfolio of the products under the condition of the considering of both benefits and risks becomes an important issue of in⁃vestment portfolios. Based on the combination of robust optimization of mean⁃absolute deviation model and the real situation of Chinese securities market, the simplified model is proposed, and through the tool of MATLAB, a new solving method for the linear model for the optimal solution is advanced. At the same time, the optimality solution to the robust model of mean⁃absolute deviation model is com⁃pared with other portfolio models to prove that this model is better than the selected comparative models.关键词
鲁棒优化/均值-绝对偏差模型/投资组合/MATLABKey words
robust optimization/Mean-Absolute Deviation Model/portfolio/MATLAB分类
管理科学引用本文复制引用
赵庆..均值-绝对偏差模型鲁棒优化策略的有效性--基于中国股票市场的实证分析[J].重庆工商大学学报（社会科学版）,2015,(1):24-29,6.
