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对多阶段金融资产配置问题中的情景生成问题进行研究,提出改进的情景分层法并设计了适合于多经济指标的二叉树情景生成方法.以我国经济环境为依托,考虑未来的不确定性,对安信基金进行实证研究.并与Kim的情景分层法进行了比较.
This paper studies the scenario generation in the multi-stage financial asset allocation problem, puts forward the improved scenario stratification method and designs a binary tree scenario generation method suitable for multiple economic indicators.Based on the economic environment in our country, considering the future uncertainty, An Empirical Study on Anxin Fund and the comparison with Kim’s scenario stratification method.