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Multicriteria portfolio selection problem: robust assets allocation

机译:多准则投资组合选择问题:稳健的资产配置

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The paper shows how to overcome practical difficulties of using the results of modern portfolio theory linked with high dimensions and the insufficient amount of information available about the input parameters, the factors that make the optimal solution unrobust. The modified mean-variance optimisation model shows that Markowitz's portfolio can be improved. The generalised optimal portfolio problem is formulated as a multicriteria problem. The performance index that presents linear convolution of the chosen criteria is considered. The closed-form solution is given under assumption that net short sales are allowed. In contrast to several known pure mathematical regularisation approaches applied to the portfolio selection problem, the considered portfolio model includes the average trading volume of shares of the portfolio's security for a specified period of time measured as a percentage of its total float number of shares, which is used to quantify the portfolio's components based on their potential price increase. The offered additional criterion, which has a clear economic interpretation allows investors to build portfolios that are more robust compared to mean-variance portfolios.
机译:本文展示了如何克服使用现代投资组合理论的结果所面临的实际困难,这些结果与高维和输入参数的可用信息量不足有关,这些因素使最佳解决方案变得不那么稳健。改进的均值方差优化模型表明,Markowitz的投资组合可以得到改善。广义最优投资组合问题被表述为多准则问题。考虑呈现所选标准的线性卷积的性能指标。封闭形式的解决方案是在允许净卖空的前提下给出的。与应用于投资组合选择问题的几种已知的纯数学正则化方法相比,考虑的投资组合模型包括在指定时间段内投资组合证券的平均股票交易量,以其总流通量的百分比来衡量,用于根据潜在价格上涨来量化投资组合的组成部分。所提供的附加标准具有明确的经济解释,使投资者能够建立比均值方差投资组合更强大的投资组合。

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