基于Omega的投资组合优化研究综述

2019 International Conference on Power Electronics, Control and Automation (ICPECA) Pub Date : 2019-11-01 DOI:10.1109/ICPECA47973.2019.8975632

Niharika Tewari, Md. Imran Hossain Showrov, V. Dubey

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引用次数: 0

摘要

投资组合优化的目的是选择风险资产，以达到收益最大化和风险最小化的目标。即使在存在约束条件的情况下，我们也应该通过为合适的投资者争取风险与回报之间的最佳关系，为资产的最佳组合建模。本文研究了在投资组合中添加约束的风险度量条件风险值，并对其优化问题进行了分析。它还侧重于当阈值$L(\alpha)$:- CVaR固定时，投资组合将如何工作。数据集取自雅虎财经，由每周历史价格组成。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Review of Omega Based Portfolio Optimization

Portfolio optimization aims to pick risky assets to meet the goal of maximizing the return and minimizing the risk. One should model the best combination of assets by striving the optimal relationship between risk and return for an appropriate investor even when the constraints are present. This paper aims to study the risk measure Conditional Value At Risk with constraints, that are added in a portfolio and are analyzed in the optimization problem. It also focuses on how will the portfolio work when a threshold value $L(\alpha)$:- CVaR is fixed. The dataset was taken from YAHOO Finance consisting of weekly historical prices were implemented.

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2019 International Conference on Power Electronics, Control and Automation (ICPECA)

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