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- 2016
基于K-means聚类和广义熵约束的CVaR投资组合模型
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Abstract:
摘要 构造带有广义熵约束的CVaR投资组合线性规划模型,采用K-means聚类法产生投资组合中各个资产收益率的情景及概率,并把它们代入模型中,得出投资组合的最优投资权数.通过选取深市的8只股票作为投资组合进行实证分析,并与MV模型对比,发现本模型不仅更能体现分散化投资的原则,且收益表现更好,具有较强的实用性.
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