Multi-Objective Securities Combination Investment Pattern and Calculation
Guo Ai · Yinshan Academic Journal · 2010
When the substantial evidence studies,I choose 5 better achievement stocks from stock market's different board in our nation as study sample and take every month opening quotation and closing quotation from January 2001 to December 2005 as incipient data,apply EXCEL powerful table function and function in mathematics application to finish following work: supposing completing a business transaction a month,to evaluate respectively the rate of return and expectation of per stock every month,then get their covariance matrix non-infra L0,thereout to construct mean-square asset combination pattern objective design equations to analyze.Thereafter selecting sample stocks' data which their expectations are less than their rate of return every month,according to logarithmic utility pattern to obtain logarithm utility pattern covariance matrix,ensuring the combination investment utility non-infra R0,thereout to compose logarithm utility pattern object design equations,comparing the solution of a set of different R0 with the boundary of mean-square assets combination pattern,to find out the solutions relation of two different objective project equations