| 引入风险厌恶系数的投资组合模型的构建和应用 |
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| 引用本文： | 张本照,周伟光.引入风险厌恶系数的投资组合模型的构建和应用[J].合肥工业大学学报(自然科学版),2007,30(9):1167-1169. |
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| 作者姓名： | 张本照 周伟光 |
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| 作者单位： | 合肥工业大学,人文经济学院,安徽,合肥,230009 |
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| 摘 要： | 文章在经典投资组合理论核心思想上引入了风险厌恶系数,采用二进制加速遗传算法使预期收益率和风险损失率都具有随机性,即在不同投资者对收益和风险不同反应的条件下优化投资组合策略,更贴近实际地反映投资者对风险与收益的不同效应,从而选择适合自己的投资组合决策方案。
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| 关 键 词： | 投资组合 风险厌恶系数 二进制加速遗传算法 |
| 文章编号： | 1003-5060(2007)09-1167-03 |
| 修稿时间： | 2006年9月5日 |
Establishment and application of the portfolio model based on introduction of the risk-aversion coefficient |
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| ZHANG Ben-zhao,ZHOU Wei-guang.Establishment and application of the portfolio model based on introduction of the risk-aversion coefficient[J].Journal of Hefei University of Technology(Natural Science),2007,30(9):1167-1169. |
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| Authors: | ZHANG Ben-zhao ZHOU Wei-guang |
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| Abstract: | The risk-aversion coefficient is introduced into the portfolio model which is based on Markowitz classic portfolio theory,and the binary coding based accelerating genetic algorithm is applied to the calculation in which both the expected rate of return and the risk rate are random so that different effects of the risks and benefits under different investment portfolio strategies are reflected.Different investors with different risk-aversion coefficients may choose different investment portfolio strategies so as to achieve the maximum benefit. |
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| Keywords: | portfolio risk-aversion coefficient binary coding based accelerating genetic algorithm |
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