| 稳健统计推断在均值-方差模型中的应用 |
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| 引用本文： | 谢振中,张复兴,尹小红.稳健统计推断在均值-方差模型中的应用[J].通化师范学院学报,2013(4):3-6. |
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| 作者姓名： | 谢振中 张复兴 尹小红 |
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| 作者单位： | 邵阳学院理学与信息科学系,湖南邵阳422000 |
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| 基金项目： | 湖南省教育厅科学研究项目（No：11c1134） |
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| 摘 要： | 针对投资组合均值-方差模型,引入了Fast-MCD多变量稳健估计方法,稳健估计模型中股票期望收益和协方差矩阵,减小了离群值对投资组合决策的影响,并结合我国证券市场的特点,对沪市A股市场进行了实证分析,得到了证券投资组合的有效前沿.
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| 关 键 词： | 均值-方差模型 离群值 Fast-MCD稳健估计 有效前沿 |
Application of Robust Statistical Inference in Mean - variance Model |
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| XIE Zhen-zhong,ZHANG Fu-xing,YIN Xiao-hong.Application of Robust Statistical Inference in Mean - variance Model[J].Journal of Tonghua Teachers College,2013(4):3-6. |
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| Authors: | XIE Zhen-zhong ZHANG Fu-xing YIN Xiao-hong |
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| Institution: | (Department of Sci.and Inform.,Shaoyang University,Shaoyang,Hunan 422000,China) |
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| Abstract: | Aiming at the portfolio mean-variance model,the paper introduced Fast-MCD multivariable robust estimation methods,expected stock revenue in the robust estimation model and covariance matrix,reducing the impact of outliers on the portfolio decision.Finally the paper gave the empirical analysis on the Shanghai Stock Exchange A-share market according to the characteristics of China＇s securities market,and got the efficient frontier of the securities portfolio. |
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| Keywords: | mean-variance model outlier Fast-MCD robust estimation efficient frontier |
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