投资组合优化
文件夹
期限(时间)
计算机科学
差异(会计)
指数函数
数学优化
现代投资组合理论
指数增长
最优化问题
计量经济学
数学
算法
经济
金融经济学
会计
数学分析
物理
量子力学
作者
Zhao-Rong Lai,Haiyan Yang
摘要
Portfolio optimization can be roughly categorized as the mean-variance approach and the exponential growth rate approach based on different theoretical foundations, trading logics, optimization objectives, and methodologies. The former and the latter are often used in long-term and short-term portfolio optimizations, respectively. Although the mean-variance approach could be applied to short-term portfolio optimization, the performance may not be satisfactory (same with the exponential growth rate approach to the long-term portfolio optimization). This survey mainly explores the gaps between these two approaches, and investigates what common ideas or mechanisms are beneficial. Besides, the evaluating framework of this field and some unsolved problems are also discussed.
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