| 摘要: |
| 采用稳定分布描述证券收益率，以克服正态分布不能描述证券收益率“高峰厚尾”的问题，利用低阶矩代替传统正态分布的二阶矩构造了基于稳定分布的均值/绝对偏差投资组合模型，并在中国市场的实际情况下研究了模型的改进及解法，最后通过算例说明了模型的可行性。 |
| 关键词: 稳定分布 投资组合 风险证券 收益率 绝对偏差 |
| DOI： |
| 分类号: |
| 基金项目:国家自然科学基金项目(70171004)；南开大学-天津大学刘徽应用数学中心项目 |
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| Portfolio selection model based on stable distribution |
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| Abstract: |
| This paper applies the stable distribution,which can better describe the financial data with the heavy tail and excessive kurtosis than the normal distribution,to fit the changes of the securities' return rate.But in stable distribution the second moment and higher moments do not exist,so the traditional mean-variance model with normal distribution is not available.Then the lower moment instead of the second moment is used to build the mean-absolute deviation,and the model is modified.Finally,an example is given to illustrate the model's feasibility. |
| Key words: stable distribution portfolio selection risky security rate of return absolute deviation |
