| 基于修正的威布尔分布的最小风险投资组合的理论研究 |
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| 引用本文： | 唐湘晋,吴新林. 基于修正的威布尔分布的最小风险投资组合的理论研究[J]. 武汉理工大学学报(交通科学与工程版), 2007, 31(6): 1091-1093 |
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| 作者姓名： | 唐湘晋 吴新林 |
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| 作者单位： | 武汉理工大学理学院,武汉,430063 |
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| 摘 要： | 投资组合的风险和收益变量完全由它们收益的多元分布的信息所决定,传统的投资组合理论都是假定资产收益服从正态分布,而实证表明它具有明显的尖峰厚尾性.为了解决这个问题Sornette提出了一种修正的威布尔分布,文中基于修正的威布尔分布计算出了独立资产和共单调资产情形下投资的组合,并推导出最小风险投资组合的组成.
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| 关 键 词： | 修正的威布尔分布 风险价值 最小风险投资组合 |
| 收稿时间： | 2007-05-17 |
| 修稿时间： | 2007-05-17 |
Theoretical Study of Minimized Risk Portfolio Based on Modified Weibull Distributions |
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| Tang Xiangjin,Wu Xinlin. Theoretical Study of Minimized Risk Portfolio Based on Modified Weibull Distributions[J]. journal of wuhan university of technology(transportation science&engineering), 2007, 31(6): 1091-1093 |
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| Authors: | Tang Xiangjin Wu Xinlin |
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| Abstract: | The parametric determination of the risks and returns associated with a given portfolio completely embedded in the multivariate distribution of returns.The traditional portfolio theory assumes that asset return follows the normal distribution,however the empirical studies show that it follows a heavy tailed and skewed distribution.The portfolio of independent assets and comonotonic assets based on modified Weibull distributions is calculated in this paper,the composition of minimized risk portfolio is given. |
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| Keywords: | modified Weibull distributions value at risk minimized risk portfolio |
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