Probability Criterion Model of Portfolio Based on the Stable Distribution
Considered the phenomenon of the heavy tail and excess kurtosis of the financial data, the portfolio model with probability criterion based on the stable distribution is investigated in this paper. In this model, the probability of attaining expected profit is looked upon the goal function and maximize it. The certain equivalent model is built. Then, the ECF method and the Stable program estimate the parameters and the simultaneous perturbation algorithm for stochastic optimization is implemented to solve the probability criterion model. Finally, under the hypothesis without commissions, an illustrative example is given in order to prove the feasibility of solving the model
Multivariate a-stable Distribution Portfolio Probability Criterion Characteristic Index
Shan Youcheng Zhao Hong
School of Management, Tianjin University, Tianjin P.R.China, 300072
国际会议
天津
英文
2007-10-20（万方平台首次上网日期，不代表论文的发表时间）