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基于追踪误差风险的多阶段指数追踪优化模型 被引量:2

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摘要 文章主要研究多阶段指数追踪优化问题,提出了追踪误差风险的概念,并给出了基于CVaR的追踪误差风险度量的表达式和多元正态分布下的计算公式,构造了基于追踪误差风险最小的多阶段指数追踪优化模型;使用混合差分进化算法对型进行求解,利用上证50指数及其成分股的观测数据进行了实证分析,验证了模型的合理性。
出处 《统计与决策》 CSSCI 北大核心 2011年第20期8-10,共3页 Statistics & Decision
基金 国家社会科学基金资助项目(07XJY038)
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共引文献26

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