| 均值-方差模型与单指数模型的应用 |
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| 引用本文： | 杨林朋,吕爱林,李超.均值-方差模型与单指数模型的应用[J].重庆工学院学报,2009,23(8):76-79. |
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| 作者姓名： | 杨林朋 吕爱林 李超 |
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| 作者单位： | 河南师范大学数学与信息科学学院; |
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| 基金项目： | 国家级大学生创新性实验计划资助项目(081047632) |
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| 摘 要： | 介绍了马克维茨的均值-方差模型和威廉.夏普的单指数模型,指出均值-方差模型存在的不足和单指数模型对均值-方差模型进行改进的合理性.通过实例对2个模型进行实证研究,并用LINGO软件进行求解.结果表明:单指数模型可以减少计算量,并且有分散投资风险的作用.最后提出了模型改进的思路.
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| 关 键 词： | 均值-方差模型 单指数模型 线性回归 |
Research on the Application of the Mean-variance Model with the Single-index Model |
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| YANG Lin-peng,LV Ai-lin,LI Chao.Research on the Application of the Mean-variance Model with the Single-index Model[J].Journal of Chongqing Institute of Technology,2009,23(8):76-79. |
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| Authors: | YANG Lin-peng LV Ai-lin LI Chao |
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| Affiliation: | College of Mathematics And Information Science;Henan Normal University;Xinxiang 453007;China |
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| Abstract: | This paper introduces the Markowitz's mean-variance model and William Sharp's single index model,points out the disadvantage of mean-variance model and rationality of improvement in mean-variance model by single index model,researches on two models through the example and solves the problem by using LINGO software.The results show that a single index model can reduce the computation with a function of risk diversification.Finally the ideas of improvement in the model are put forward. |
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| Keywords: | mean-variance model single-index model linear regression |
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