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建立一个投资组合首先需要求解其中各项资产的最优比例,马科维茨的均值-方差理论已经成为了此类规划问题的经典解法,但是其锁定风险或收益其一求解另一者的方法需要人为设定约束条件的数值,因而可能不是理论上的最优解。本文试图将多目标模型运用到投资组合中求解风险资产的占比,再在考虑居民风险收益偏好的基础上探索在组合中加入无风险资产,从而为家庭资产的投资组合与运用提出建议。
Markov’s Mean-Variance Theory has become the classical solution to such planning problems, but it is a way to lock in the risk or return of the other one The value of the constraint needs to be artificially set and therefore may not be the theoretical optimal solution. This paper attempts to apply the multi-objective model to the portfolio to find the proportion of risky assets. Based on the residents’ preference for risk and return, this article tries to find out the risk-free assets in the portfolio to make recommendations for the portfolio and application of household assets.