| 泛组合证券选择的一个改进递推算法 |
| |
| 引用本文： | 徐雅卿,胡奇英.泛组合证券选择的一个改进递推算法[J].西安文理学院学报,2007,10(2):77-79. |
| |
| 作者姓名： | 徐雅卿 胡奇英 |
| |
| 作者单位： | 西安电子科技大学经济管理学院 陕西西安710071(徐雅卿)，上海大学国际工商与管理学院 上海201800(胡奇英) |
| |
| 摘 要： | 阐述了组合证券以及泛组合证券的基本概念,根据Cover(1991)提出的泛组合证券策略和Cover(1996)给出的计算b~n的递推算法,提出了泛组合证券选择b~n的一个改进的递推算法,该算法比Cover(1996)’s要简单得多.最后根据证券市场中的数据给出仿真和结果.
|
| 关 键 词： | 组合证券 泛组合证券 常平衡泛组合证券策略 |
| 文章编号： | 24486596 |
| 修稿时间： | 02 15 2006 12:00AM |
An Improved Iterative Algorithm for Universal Portfolio Selection |
| |
| XU Ya-qing,HU Qi-ying.An Improved Iterative Algorithm for Universal Portfolio Selection[J].Journal of Xi‘an University of Arts & Science:Natural Science Edition,2007,10(2):77-79. |
| |
| Authors: | XU Ya-qing HU Qi-ying |
| |
| Abstract: | The conception and some principles of portfolio and universal portfolio were first introduced,and based on the universal portfolio strategy presented by Cover(1991) and an iterative algorithm for given by Cover(1996),an improved iterative algorithm for universal portfolio selection was presented.This algorithm is much simpler than Cover(1996)'s.Finally,the data from stock market was simulated and the result was given. |
| |
| Keywords: | portfolio universal portfolio constant universal portfolio strategy |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
