基于不同风险度量下的投资组合模型研究-运筹学与控制论专业论文.docxVIP

min吉咋一合模型： min吉咋一 合模型： “．E(彬)=％，并给出了当扰动项占服从正态分布时的该模型最 xrb=bp． 优策略的解析式： [(％一Wo(1+Zo))彳一bpDlQ—E(P 一心一Wo 0场))D]Q一16 (AC-D2) (AC-D2) 关键词：投资组合机会成本交易成本稳定分布风险度量 均值一VaR VaR 万方数据 RE RE SEARCH oN PoRTFoLIo MoDEL BASED oN DIFFERENT IUSK MEASUREMENT ABSTRACT Modern investment theory originated in 1 952．Markowitz proposed the meth．od of portfolio selection．Recent years，portfoli0 model has a wide range of development in theory and application．But it still faces manY problems and challenges．For example：the selection of risk measurement，cost problem， constraints problem，portfolio problem．According to the por