国产bbaaaaa片,成年美女黄网站色视频免费,成年黄大片,а天堂中文最新一区二区三区,成人精品视频一区二区三区尤物

首頁> 外文會議>IEEE Conference on Computational Intelligence for Financial Engineering Economics >DynOpt: Incorporating dynamics into mean-variance portfolio optimization
【24h】

DynOpt: Incorporating dynamics into mean-variance portfolio optimization

機譯：DynOpt：將動力學納入均值方差投資組合優(yōu)化

獲取原文
  • 摘要
  • 著錄項
  • 相似文獻
  • 相關主題

摘要

Mean-variance (MV) portfolio theory leads to relatively simple and elegant numerical problems. Nonetheless, the approach has been criticized for treating the market parameters as if they were constant over time. We propose a novel convex optimization problem that extends an existing MV formulation with chance constraint(s) by accounting for the portfolio dynamics. The core idea is to consider a multiperiod scenario where portfolio weights are implicitly regarded as the output of a state-space dynamical system driven by external inputs. The approach leverages a result on realization theory and uses the nuclear norm to penalize complex dynamical behaviors. The proposed ideas are illustrated by two case studies.
機譯：均方差（MV）投資組合理論導致相對簡單而優(yōu)雅的數(shù)值問題。但是，該方法因將市場參數(shù)視為隨時間不變而受到批評。我們提出了一個新穎的凸優(yōu)化問題，該問題通過考慮投資組合的動態(tài)來擴展帶有機會約束的現(xiàn)有MV公式。核心思想是考慮一個多期間方案，其中投資組合權重被隱含地視為由外部輸入驅動的狀態(tài)空間動態(tài)系統(tǒng)的輸出。該方法利用了實現(xiàn)理論的結果，并使用核規(guī)范來懲罰復雜的動力學行為。通過兩個案例研究說明了所提出的想法。

著錄項

相似文獻

  • 外文文獻
  • 中文文獻
  • 專利
獲取原文

客服郵箱：kefu@zhangqiaokeyan.com

京公網(wǎng)安備：11010802029741號 ICP備案號：京ICP備15016152號-6 六維聯(lián)合信息科技 (北京) 有限公司?版權所有

  • 客服微信

  • 服務號