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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/107920

    Title: 求解CVaR投資組合優化問題之改進PSO算法
    Authors: 周世昊;倪衍森
    Keywords: CVaR;投資組合優化;PSO演算法
    Date: 2010-01-15
    Issue Date: 2016-10-18 02:10:41 (UTC+8)
    Abstract: 研究了基於CVaR約束的的最優投資決策問題,為避免維數障礙,針對Fredrik提出的CVaR投資組合優化線性規劃模型還原為非線性規劃。通過引入縮進因數,改進PSO演算法,使粒子在反覆運算過程中保持在可行域內。最後,通過算例證明瞭該文方法的有效性,計算結果表明,投資組合優化後的損失期望收益率、標準差、受險價值、條件受險價值等重要風險衡量指標都有了較大改進。
    Relation: 武漢理工大學學報 31(1),頁 179-182
    Appears in Collections:[Department of Management Sciences] Journal Article

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