|
系统工程理论与实践 2004
A Study on Signal-to-Noise of Principal Component for Portfolio Selection
|
Abstract:
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.