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Mean Variance Portfolio Optimization均值方差投资组合模型案例（数据和MATLAB代码）
42 个回复 - 26638 次查看 Mean Variance Portfolio Optimization均值方差投资组合模型案例（数据和MATLAB代码）代码都有详细解释，可以快速熟悉并使用Mean Variance Portfolio Optimization均值方差投资组合模型2017-6-7 09:07 - 匿名 - 现金交易版

Return attribution of actively managed or time-varying portfolios
3 个回复 - 743 次查看【作者(必填)】BO Arnarson, S Karason, HO Haraldsson 【文题(必填)】 Return attribution of actively managed or time-varying portfolios【年份(必填)】 2003, 【全文链接或数据库名称(选填)】2017-12-8 15:49 - ssylzz - 求助成功区

Minimum VaR and minimum CVaR optimal portfolios: Estimators,
1 个回复 - 2641 次查看 2014-3-9 09:50 - xuehe - Gauss专版

Pure Factor Portfolios and Multivariate Regression Analysis
4 个回复 - 1149 次查看【作者(必填)】Roger Clarke, Harindra de Silva, and Steven Thorley 【文题(必填)】Pure Factor Portfolios and Multivariate Regression Analysis 【年份(必填)】2017 【全文链接或数据库名称(选填)】ht ...2017-5-3 19:35 - MemMao - 求助成功区

Portfolio value-at-risk estimation in energy futures markets with time-varying c
2 个回复 - 402 次查看【作者(必填)】 23 【文题(必填)】 Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model【年份(必填)】 23 【全文链接或数据库名称(选填)】https://link.spri ...2019-5-8 19:14 - internet.hzx - 求助成功区

NTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF L
2 个回复 - 804 次查看【作者(必填)】 [*]Donald R. Lessard Assistant Professo 【文题(必填)】 NTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES 【年份(必填)】【 ...2015-3-4 13:01 - internet.hzx - 求助成功区

Mean-variance portfolio methods for energy policy risk management
2 个回复 - 662 次查看 Mean-variance portfolio methods for energy policy risk management 34页2018-11-30 14:29 - zlghs - 金融学（理论版）

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
3 个回复 - 826 次查看【作者(必填)】Tomas Björk, Agatha Murgoci, Xun Yu Zhou 【文题(必填)】MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION 【年份(必填)】2012 【全文链接或数据库名称(选 ...2017-5-7 19:35 - MemMao - 求助成功区

Uncertain exit time multi-period mean–variance portfolio selection with endogen
1 个回复 - 544 次查看【作者(必填)】Yao Haixiang 【文题(必填)】Uncertain exit time multi-period mean–variance portfolio selection with endogen 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://www.sciencedi ...2017-5-6 12:47 - wead456789 - 求助成功区

Return Attribution of Actively Managed or Time-Varying Portfolios
4 个回复 - 1426 次查看【作者(必填)】[/backcolor] Arnarson, B. O., Karason,S., Haraldsson,H.O., and Karason H., [/backcolor] 【文题(必填)】[/backcolor] Return Attribution of Actively Managed or Time-Varying Portfolios，载 ...2014-8-13 19:40 - hugofgh - 求助成功区

Bruno de Finetti and Mean-Variance Portfolio Selection
0 个回复 - 577 次查看【作者(必填)】 Mark Rubinstein 【文题(必填)】 Bruno de Finetti and Mean-Variance Portfolio Selection【年份(必填)】 Volume 4, Number 3, Third Quarter 2006 【全文链接或数据库名称(选填)】https://www ...2019-1-12 03:37 - leosong - 文献求助专区

投资组合优化PortfolioCVaR，处理缺失数据
0 个回复 - 1132 次查看在进行投资组合优化的过程中，有木有大神遇到过这种非正定矩阵的问题。使用matlab工具类PortfolioCVaR。然后使用函数simulateNormalScenariosByData处理NaN数据时出现的问题。2017-8-23 12:23 - 启程517 - MATLAB等数学软件专版

Minimum Variance Portfolios in the German Stock Market
2 个回复 - 695 次查看【作者(必填)】Jan Bastin 【文题(必填)】Minimum Variance Portfolios in the German Stock Market 【年份(必填)】2017 【全文链接或数据库名称(选填)】https://www.vse.cz/pep/5992017-4-5 22:09 - runman - 求助成功区

Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio
1 个回复 - 605 次查看【作者(必填)】Mei Choi Chiu， Chi Seng Pun， Hoi Ying Wong 【文题(必填)】 Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy 【年份(必填)】 ...2017-4-4 11:10 - 一品小猪 - 求助成功区

Persistent Interest Portfolios: Marrying Web Search Data with Mean–Variance The
3 个回复 - 772 次查看【作者(必填)】Daniel Nadler and Anatoly B. Schmidt 【文题(必填)】Persistent Interest Portfolios: Marrying Web Search Data with Mean–Variance Theory 【年份(必填)】Fall 2016, Vol. 25, No. 3: pp. 13 ...2016-10-26 21:39 - lopemann - 求助成功区

On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
2 个回复 - 728 次查看【作者(必填)】Louis K. C. Chan , , Jason Karceski and Josef Lakonishok 【文题(必填)】On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model 【年 ...2016-8-23 21:33 - MemMao - 求助成功区

Portfolio performance evaluation in a mean–variance–skewness framework T Joro,
1 个回复 - 703 次查看【作者(必填)】【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】Portfolio performance evaluation in a mean–variance–skewness frameworkT Joro, P Na - European Journal of Operation ...2016-8-19 14:48 - 马甲甲 - 求助成功区

Neural network-based mean–variance–skewness model for portfolio selection L Yu
1 个回复 - 520 次查看【作者(必填)】【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】Neural network-based mean–variance–skewness model for portfolio selectionL Yu, S Wang, KK Lai - Computers & Operat ...2016-8-19 14:44 - 马甲甲 - 求助成功区

Mean-variance-skewness portfolio performance gauging: a general shortage functio
1 个回复 - 717 次查看【作者(必填)】【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approachW Briec, K Kerste ...2016-8-19 14:14 - 马甲甲 - 求助成功区

How Does Household Portfolio Diversification Vary with Financial Literacy and Fi
3 个回复 - 1169 次查看【作者(必填)】 [*]HANS-MARTIN VON GAUDECKER 【文题(必填)】 How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice? 【年份(必填)】 2015 【全文链接或数据库 ...2015-8-30 09:18 - internet.hzx - 求助成功区

A REVISED GEOMETRY OF MEAN-VARIANCE EFFICIENT PORTFOLIOS
1 个回复 - 742 次查看【作者(必填)】 [*]Hans G. Ehrbar 【文题(必填)】A REVISED GEOMETRY OF MEAN-VARIANCE EFFICIENT PORTFOLIOS 【年份(必填)】 1993 【全文链接或数据库名称(选填)】http://onlinelibrary.wiley.com/doi/1 ...2015-4-28 20:55 - wenyu - 求助成功区

用excel 矩阵函数计算global minimum variance portfolio 关于portfolio theory的问题
4 个回复 - 12161 次查看求高人指点啊！！！！我现在有一个COVARIANCE 的matrix ，在EXCEL 中的位置是 E6:AL39 （这是个 34X34 的正方形矩阵，共有34X34个数值）待优化的PORTFOLIO WEIGHT 在 EXCEL 的 C58:AJ 58的地方，共34个数值。 ...2011-4-30 00:26 - zhuang7 - Excel

INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF
1 个回复 - 520 次查看【作者(必填)】 [*]Donald R. Lessard Assistant Professo 【文题(必填)】 INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES 【年份(必填)】 197 ...2015-3-2 11:03 - internet.hzx - 文献求助专区

Portfolio Value-At-Risk Estimation In Energy Futures Markets With Time-Varying
5 个回复 - 1038 次查看【作者(必填)】Xun Fa Lu, Kin Keung Lai, Liang Liang 【文题(必填)】Portfolio Value-At-Risk Estimation In Energy Futures Markets With Time-Varying Copula-GARCH Model 【年份(必填)】2014 【全文链 ...2015-1-30 11:40 - lipj - 求助成功区

Return Attribution of Actively Managed or Time-Varying Portfolios
7 个回复 - 1681 次查看【作者(必填)】 Arnarson, B. O., Karason,S., Haraldsson,H.O., and Karason H., 【文题(必填)】 Return Attribution of Actively Managed or Time-Varying Portfolios，载于Volume 7(4)The Journal of Perform ...2012-11-7 11:19 - ly517588 - 求助成功区

Portfolio optimization with CVaR
2 个回复 - 2013 次查看 This is SAS optmodel implementation of Portfolio optimization with CVaR. The sim block is a simple simulation of returns of financial instruments. You may replace it with real data observed from stock ...2014-4-19 12:06 - bobguy - SAS专版

Downside risk management and VaR-based optimal portfolios for precious metals, o
4 个回复 - 809 次查看【作者(必填)】 [*]Shawkat Hammoudeha, , , [*]Paulo Araújo Santosb, 1, , [*]Abdullah Al-Hassanc, 2, 【文题(必填)】Downside risk management and VaR-based optimal portfolios for precious metals ...2014-6-17 15:00 - nkky2011 - 求助成功区

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
1 个回复 - 1316 次查看分享给大家，一篇比较新的关于组合策略的文章。作者里面有FrankJ.Fabozzi, 偏向实际应用。分享给大家欣赏。 Abstract Risk management through marginal rebalancing is important for institutional investors ...2013-11-28 12:53 - vodkabuaa - 金融工程（数量金融）与金融衍生品

Minimum-Variance Portfolios Based on Covariance Matrices Using Implied Volatilit
2 个回复 - 820 次查看【作者(必填)】Mehdi Mostowfi and Carolin Stier 【文题(必填)】Minimum-Variance Portfolios Based on Covariance Matrices Using Implied Volatilities: Evidence from the German Market 【年份(必填)】2 ...2013-11-20 20:11 - twinkle_2012 - 求助成功区

Mean–CVaR portfolio selection: A nonparametric estimation framework 1 篇
1 个回复 - 1531 次查看【作者(必填)】 Haixiang Yaoa, , Zhongfei Lib, c, , , Yongzeng Laid, 【文题(必填)】 Mean–CVaR portfolio selection: A nonparametric estimation framework【年份(必填)】 2013 【全文链接或数据库名称( ...2013-6-18 23:01 - qijiongli - 求助成功区

求助:Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio C
1 个回复 - 804 次查看【作者(必填)】NH Hakansson 【文题(必填)】Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio Choice 【年份(必填)】1971 【全文链接或数据库名称(选填)】JSTOR2013-5-30 12:07 - ljf2007 - 求助成功区

求助一篇外文献 Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
2 个回复 - 820 次查看【作者(必填)】1.Fabio Maccheroni, 2.Massimo Marinacci, 3.Doriana Ruffino 【文题(必填)】Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis 【年份(必填)】2013 【全文链接或数据库名称(选 ...2013-5-28 00:08 - ljufang - 求助成功区

Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
1 个回复 - 1689 次查看 Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization2009-12-27 22:35 - zengyan1984 - 论文版

院士严加安：New formulations of Markowitz’s mean-variance portfolio selection
0 个回复 - 1454 次查看西南财大光华讲坛—社会名流论坛第 3000期主讲人：中国科学院院士严加安标题：New formulations of Markowitz’s mean-variance portfolio selection 主持人：统计学院院长史代敏教授时间：2011-11-14（星 ...2011-11-13 19:34 - swufeliuyi2010 - 学术资源/课程/会议/讲座

Minimum Variance Portfolio Composition
1 个回复 - 1824 次查看 Minimum Variance Portfolio Composition2011-4-9 20:09 - cop207 - 微观经济学

求Mean-Variance Analysis in Portfolio Choice and Capital Markets
10 个回复 - 4604 次查看作者: Harry M. Markowitz / G. Peter Todd / William F. Sharpe ISBN: 9781883249755 页数: 399 出版社: Wiley 装帧: Hardcover 出版年: 2000 英文原版2009-10-16 11:03 - renxuef - 求助成功区

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
0 个回复 - 1622 次查看 Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints2010-1-7 23:28 - zengyan1984 - 论文版

APPLYING MULTIVARIATE TIME SERIES FORECASTS FOR ACTIVE PORTFOLIO MANAGEMENT
0 个回复 - 1309 次查看 APPLYING MULTIVARIATE TIME SERIES FORECASTS FOR ACTIVE PORTFOLIO MANAGEMENT2009-12-27 22:56 - zengyan1984 - 论文版

Portfolio Management Using VaR
1 个回复 - 925 次查看 Portfolio Management Using VaR2009-6-19 13:58 - rich1027 - 金融学（理论版）

A Comparison of Traditional and Copula based VaR with Agricultural portfolio
0 个回复 - 184 次查看 2006-3-14 19:22 - 豆粕期货122 - Forum

Three-Dimensional Efficient Portfolio Frontier: Mean, Variance, and Farm Si...
0 个回复 - 244 次查看 2005-11-2 13:37 - 学年论文802 - Forum

The Effect Of Various Reit Sub-Categories On Mixed-Asset Portfolios In Sout...
0 个回复 - 217 次查看 2005-7-8 18:07 - 社会保障学466 - Forum

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