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采用收益率的协方差矩阵的特征根刻划投资的风险;用主成分综合反映证券市场的信息;用主成分的信噪比反映投资组合的期望收益率与风险之间的均衡关系,并以此作为投资组合收益极大化的指标;得到了不同与H.Markowitz的投资组合模型,并给出了具体的投资组合策略-卖空与非卖空条件下的投资组合的比例,文章最后给出了一个实例.
Using the eigenvalue of the covariance matrix of return to score the risk of investment; using the principal component to comprehensively reflect the information of the stock market; using the signal-noise ratio of the principal component to reflect the equilibrium relationship between the expected return of the portfolio and the risk; This as an indicator of the maximization of portfolio returns; obtained a different portfolio model with H.Markowitz, and gives the specific portfolio strategy - short and non-short selling portfolio ratio, the article last An example is given.