%0 Journal Article
%T A Study on Signal-to-Noise of Principal Component for Portfolio Selection<br>基于信噪比的投资组合策略研究
%A WEI Shi-zhen
%A {
%A }
%A YOU Chen
%A HAN Yu-qi
%A CHEN Chuan-ming
%A <br>魏世振
%J 系统工程理论与实践
%D 2004
%I 
%X In this paper, we take the eignvalue of the covariance matrix as the measurement of investment risk; the principal component as the information of investment market; the signal-to-noise of the principal component as balance relationship between the profit and the risk, then a portfolio selection index is put forward, and a new portfolio selection model is presented, which is different from H.Markowitz model. At last an example is also given.
%K portfolio selection
%K signal-to-noise ratio
%K principal component analysis<br>投资组合
%K 主成分分析
%K 信噪比
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=F8AE9A9F7B718F89&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=0B39A22176CE99FB&sid=5D311CA918CA9A03&eid=FC0714F8D2EB605D&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=9