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OALib Journal期刊
ISSN: 2333-9721
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A Study on Signal-to-Noise of Principal Component for Portfolio Selection
基于信噪比的投资组合策略研究

Keywords: portfolio selection,signal-to-noise ratio,principal component analysis
投资组合
,主成分分析,信噪比

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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.

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