| 限制性卖空的单位风险收益最大投资组合模型 |
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| 引用本文： | 武敏婷,高岳林. 限制性卖空的单位风险收益最大投资组合模型[J]. 武汉理工大学学报, 2010, 0(8) |
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| 作者姓名： | 武敏婷 高岳林 |
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| 作者单位： | 北方民族大学信息与系统科学研究所; |
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| 基金项目： | 国家社会科学基金(07XJY038); 国家教育部社科规划资助项目(06JA630056) |
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| 摘 要： | 在限制性卖空条件下,以VaR作为风险度量工具,它比传统的方差风险度量更全面更系统,首先建立了限制性卖空的单位风险收益最大模型,其次提出了基于线性递减惯性权重和自然选择机制的二阶混合粒子优化(LSSPSO)算法,并将该算法应用到模型中进行求解,最后以一个算例验证了算法的有效性,以及限制性卖空有助于增强市场效率,降低市场风险。
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| 关 键 词： | 投资组合 单位风险 限制性卖空 VaR 混合粒子群优化算法 |
Portfolio Model of Maximum Earnings Per Risk in Restrictions of Short Selling |
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| WU Min-ting,GAO Yue-lin. Portfolio Model of Maximum Earnings Per Risk in Restrictions of Short Selling[J]. Journal of Wuhan University of Technology, 2010, 0(8) |
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| Authors: | WU Min-ting GAO Yue-lin |
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| Affiliation: | WU Min-ting,GAO Yue-lin(Institute of Information , System Science,The North University for Ethnics,Yinchuan 750021,China) |
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| Abstract: | Under the conditions of restricted short-selling,the paper takes VaR, which is more comprehensive and systematic than the traditional risk measure variance,as a tool of risk measure.A restricted short-selling model of Maximum Earnings Per Risk is established firstly.The second-order Hybrid Particle Swarm algorithm with the linear descending inertia weight and natural selection mechanism(LSSPSO) is proposed secondly,and it is applied to solve the model.Lastly, we take a specific numerical example to prove th... |
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| Keywords: | portfolio unit risk restriction of short selling VaR hybrid particle swarm optimization algorithm |
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