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绝对离差    
相关语句
  absolute deviation
    Portfolio choice model based on mean absolute deviation and it's simulated annealing algorithm
    绝对离差证券组合投资模型及其模拟退火算法
短句来源
    Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model
    绝对离差风险测度模型与均值方差模型的比较研究
短句来源
    The author also bringsforward multi-factor asset pricing model based on risk-metric indices, such as coefficient of beta, standard variance, standard semi-variance, average absolute deviation, value at risk, and factor variables, such as circulated market equity, exchange ratio, short-term historical return.
    此外,作者基于资产不可交易这一假设,提出了B股、H股和非流通股等情形的资产定价模型,并基于β系数、标准差、标准半方差、平均绝对离差和风险价值等风险度量指标以及流通市值、换手率、短期历史收益率等因素变量提出了四因素资产定价模型。
短句来源
    Besides traditional Mean-Variance model, many portfolio models can be found in literatures. For example, Mean-Absolute Deviation model, Mean-Semi Absolute Deviation model, Logarithm Utility model, Geometry Expected Earnings model, Safety-First model, and so on.
    除了传统的均值-方差模型以外,还出现了均值-绝对离差模型、均值-半绝对离差模型、对数效用模型、几何期望收益模型及安全-首要模型等等。
短句来源
    This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.
    在分析Markowitz组合证券投资模型、绝对离差风险测度模型和E-Sh风险测度模型的基础上,针对上述模型的不足之处,提出了新的风险测度下的组合证券投资最优化模型,给出了计算最优投资权重系数和确定有效边界的方法.并结合案例分析了最优化模型的有效性
短句来源
更多       
  mean absolute deviation
    Portfolio choice model based on mean absolute deviation and it's simulated annealing algorithm
    绝对离差证券组合投资模型及其模拟退火算法
短句来源
    Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model
    绝对离差风险测度模型与均值方差模型的比较研究
短句来源
    The model uses mean absolute deviation of return as measure of the risk and gains a optimal portfolio by solving the linear programming.
    该模型采用收益的平均绝对离差作为风险的尺度 ,可以通过求解线性规划获得最优证券投资组合。
短句来源
    As a measure of risk, mean absolute deviation is better than variance in a sense.
    作为度量风险的标准 ,绝对离差比方差更为合适 .
短句来源
    The empirical result shows that the absolute values of risk elasticity are more than 1 under various returns and it also indicates that the proposed model based on mean absolute deviation is better than mean variance model based on variance both in theory and in practice.
    实证分析表明 ,在不同收益率水平下 ,风险弹性的绝对值都大于 1 .说明绝对离差模型比均值 -方差模型无论在理论上还是在实际效果上都要更好 .
短句来源
更多       
  absolute deviation
    Portfolio choice model based on mean absolute deviation and it's simulated annealing algorithm
    绝对离差证券组合投资模型及其模拟退火算法
短句来源
    Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model
    绝对离差风险测度模型与均值方差模型的比较研究
短句来源
    The author also bringsforward multi-factor asset pricing model based on risk-metric indices, such as coefficient of beta, standard variance, standard semi-variance, average absolute deviation, value at risk, and factor variables, such as circulated market equity, exchange ratio, short-term historical return.
    此外,作者基于资产不可交易这一假设,提出了B股、H股和非流通股等情形的资产定价模型,并基于β系数、标准差、标准半方差、平均绝对离差和风险价值等风险度量指标以及流通市值、换手率、短期历史收益率等因素变量提出了四因素资产定价模型。
短句来源
    Besides traditional Mean-Variance model, many portfolio models can be found in literatures. For example, Mean-Absolute Deviation model, Mean-Semi Absolute Deviation model, Logarithm Utility model, Geometry Expected Earnings model, Safety-First model, and so on.
    除了传统的均值-方差模型以外,还出现了均值-绝对离差模型、均值-半绝对离差模型、对数效用模型、几何期望收益模型及安全-首要模型等等。
短句来源
    This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.
    在分析Markowitz组合证券投资模型、绝对离差风险测度模型和E-Sh风险测度模型的基础上,针对上述模型的不足之处,提出了新的风险测度下的组合证券投资最优化模型,给出了计算最优投资权重系数和确定有效边界的方法.并结合案例分析了最优化模型的有效性
短句来源
更多       
  absolute-deviation
    In the empirical study,we apply the new model to Shanghai stock market,and compare the new model with the semi-variance model and the absolute-deviation model in quantitative and qualitative way. It can be drawn from comparison with the other two portfolio models that the semi-deviation portfolio model is better and practical.
    利用“上证30指数”中的30种成分股票作为样本对该模型进行实证研究,结果表明,在与Markowitz模型和绝对离差模型的定性、定量比较中,半绝对离差模型能求解出更优的投资组合,是一种更有效的组合投资模型.
短句来源

 

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  absolute deviation
The overall average absolute deviation was less than 1.0%.
      
Within the whole range of mixtures, mean absolute deviations between the determined and the actual milk fat content were below 0.5% and the maximum absolute deviation was not more than 1.0% when using the reference sample.
      
The overall mean absolute deviation was 0.04% for milk fat contents of 1 to 10% and 0.28% for milk fat contents of 10 to 90%.
      
The objective is to minimize the total absolute deviation of job completion times about the common due date.
      
The objective is the minimization of the mean weighted absolute deviation of job completion times from due dates.
      
更多          
  mean absolute deviation
The overall mean absolute deviation was 0.04% for milk fat contents of 1 to 10% and 0.28% for milk fat contents of 10 to 90%.
      
Approximation of expected returns and optimal decisions under uncertainty using mean and mean absolute deviation
      
The mean absolute deviation between theory and experiment (where available) for heats of hydrogenation of closed shell species with two non-hydrogen atoms is 4 kcal/mole for the basis set with full polarization.
      
Although the theoretical vertical transition energies correspond only approximately to experimental absorption band maxima, the mean absolute deviation was calculated to be 0.21?eV (1600?cm-1).
      
The new methodology (CBS-4MB) applied to a set of 114 molecules of different size significantly decreases the mean absolute deviation from 3.78 to 2.06?kcal/mol.
      
更多          
  absolute deviation
The overall average absolute deviation was less than 1.0%.
      
Within the whole range of mixtures, mean absolute deviations between the determined and the actual milk fat content were below 0.5% and the maximum absolute deviation was not more than 1.0% when using the reference sample.
      
The overall mean absolute deviation was 0.04% for milk fat contents of 1 to 10% and 0.28% for milk fat contents of 10 to 90%.
      
The objective is to minimize the total absolute deviation of job completion times about the common due date.
      
The objective is the minimization of the mean weighted absolute deviation of job completion times from due dates.
      
更多          
  其他


This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.

在分析Markowitz组合证券投资模型、绝对离差风险测度模型和E-Sh风险测度模型的基础上,针对上述模型的不足之处,提出了新的风险测度下的组合证券投资最优化模型,给出了计算最优投资权重系数和确定有效边界的方法.并结合案例分析了最优化模型的有效性

The paper raises a mean—absolute deviation porfolio optimal selection model on account of the historical return data. The model uses mean absolute deviation of return as measure of the risk and gains a optimal portfolio by solving the linear programming. If the securitys returns are multivariate normally distributed, its solution is similar to the one of mean—variance models and the computative complication of solving the quadratic programming problom of mean—variance model is avoided. Finally, this paper also...

The paper raises a mean—absolute deviation porfolio optimal selection model on account of the historical return data. The model uses mean absolute deviation of return as measure of the risk and gains a optimal portfolio by solving the linear programming. If the securitys returns are multivariate normally distributed, its solution is similar to the one of mean—variance models and the computative complication of solving the quadratic programming problom of mean—variance model is avoided. Finally, this paper also raises a portfolio optimal selection model in condition of the trode cost exists.

本文给出了基于历史收益率数据的均值—平均绝对离差型组合证券投资优化模型。该模型采用收益的平均绝对离差作为风险的尺度 ,可以通过求解线性规划获得最优证券投资组合。在证券收益分布为正态分布时与均值—方差模型的解相似 ,避免了均值—方差模型求解二次规划问题 (尤其在解决大规模的组合证券投资问题时 )的计算复杂性。本文还考虑了存在交易费用时的情形

We propose a new risk measure, which is called Semi-Deviation. This new measure is superior to the exist measures,such as semi-variance and absolute-deviation etc,because it only focuses on the risk that less than the expected return,and using this measure doesn't need to consider whether the variance of asset retuens is existent. Based on this new measure, we also setup the portfolio optimization model which integrates the advantage of downside risk of semi-variance and the existence of first rank moment. In...

We propose a new risk measure, which is called Semi-Deviation. This new measure is superior to the exist measures,such as semi-variance and absolute-deviation etc,because it only focuses on the risk that less than the expected return,and using this measure doesn't need to consider whether the variance of asset retuens is existent. Based on this new measure, we also setup the portfolio optimization model which integrates the advantage of downside risk of semi-variance and the existence of first rank moment. In the empirical study,we apply the new model to Shanghai stock market,and compare the new model with the semi-variance model and the absolute-deviation model in quantitative and qualitative way. It can be drawn from comparison with the other two portfolio models that the semi-deviation portfolio model is better and practical.

提出“半绝对离差”这一新的风险度量工具,并与证券收益率的半方差、绝对离差进行比较,给出了基于半绝对离差的证券组合投资模型.该模型采用半绝对离差作为风险的度量工具,综合了半方差的向下风险和绝对离差的一阶矩存在的优点.利用“上证30指数”中的30种成分股票作为样本对该模型进行实证研究,结果表明,在与Markowitz模型和绝对离差模型的定性、定量比较中,半绝对离差模型能求解出更优的投资组合,是一种更有效的组合投资模型.

 
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