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均值-绝对离差投资组合修正模型

DOI: 10.11830/ISSN.1000-5013.2013.06.0710

Keywords: 绝对离差, 收益权值, 基数约束, 有效前沿

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Abstract:

针对投资者对不同收益率资产的偏好,通过引入收益权值系数,直接对各证券的收益离差进行非对称影响分析,重构均值-绝对离差(MAD)投资组合模型,并将模型转换为线性规划.最后,利用LINGO软件对修正MAD模型进行分析,提供投资者更多样化之投资组合选择.

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