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| 摘要: |
| 本文研究了多期投资组合模型的问题.利用非正态稳定分布和参数估计的方法,建立了市场上含一个无风险证券和多个风险证券时多期投资组合的模型,对于描述风险证券所具有的偏态和过度峰态的非正态特征及其股市中的应用起到了作用. |
| 关键词: 稳定分布 投资组合 参数估计 |
| DOI： |
| 分类号:O212 |
| 基金项目:国家自然科学基金资助(11261031);内蒙古自然科学基金资助(2013MS0101). |
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| MULTI-PERIOD PORTFOLIO MODEL AND ITS APPLICATIONOF STABLE DISTRIBUTION |
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XUAN Hai-yan,BAO Hai-ming,SHI Xin-yong,YANG Na-na
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| Abstract: |
| In this paper, we study the problem of the multi-period portfolio model. By using the method of non-normal stable distributions and parameter estimation, the model of the multi-period portfolio of the market including a risk-free security and some risk securities is established. It plays a role in describing risk securities which there are the non-normal characteristics with skewness and excess kurtosis, and the application of the stock market. |
| Key words: stable distribution portfolio parameter estimation |
