دانلود ترجمه مقاله درباره مدل بهینه سازی واریانس – The Mean-Variance Optimization Model
عنوان فایل ترجمه فارسی: مدال بهینه سازی واریانس- میانگین.
عنوان نسخه انگلیسی: The Mean-Variance Optimization Model
مرتبط با رشته های : آمار
تعداد صفحات مقاله فارسی: ۱۴ صفحه
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قسمتی از متن انگلیسی:
One obvious problem with using Gaussian distributions to model asset returns is based on the attribute of the normal distribution to be unbounded from below: if the investment alternatives are regular shares, their value can not fall below 0, i.e. there is not even the smallest probability for the return to be smaller than −۱٫ The main argument against normality of the asset returns is, however, that there is a lot of empirical evidence that investment returns are not multivariate Gaussian. Classical references documenting this are e.g. Mandelbrot [Man63] and Fama [Fam65]. But even if neither of the circumstances mentioned above (quadratic utility or normally distributed asset returns) are assumed to be true, there is a good chance that the portfolio that maximizes expected utility is fairly close to the one that minimizes variance for a given value of expected return (see e.g. Kroll et al. [KLM84] or Cremers et al. [CKP03]). In the problematic case that expected utility has to be maximized with neither quadratic utility nor normally distributed returns, there is no other choice but to explicitly determine the utility function of the investor – which is often not an easy task – and then to directly use it in the optimization process. Depending on the type of the utility function, this may be nearly impossible to do in a reasonable amount of time. For this reason, this thesis is restricted to mean-variance optimization.
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