英文标题：
《Self-Averaging Property of Minimal Investment Risk of Mean-Variance
Model》
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作者：
Takashi Shinzato
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最新提交年份：
2014
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英文摘要：
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy does not always result in the best rate of return on assets. Prior to making investment decisions, it is important to an investor to know the potential minimal investment risk (or the expected minimal investment risk) and to determine the strategy that will maximize the return on assets. We use the self-averaging property to analyze the potential minimal investment risk and the concentrated investment level for the strategy that gives the best rate of return. We compare the results from our method with the results obtained by the operations research approach and with those obtained by a numerical simulation using the optimal portfolio. The results of our method and the numerical simulation are in agreement, but they differ from that of the operations research approach.
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中文摘要：
在投资组合优化问题中，最小期望投资风险并不总是小于最小期望投资风险。也就是说，使用运筹学中众所周知的方法，可以得出一种将预期投资风险降至最低的策略，但这种策略并不总是产生最佳的资产回报率。在做出投资决策之前，投资者必须了解潜在的最小投资风险（或预期的最小投资风险），并确定将资产回报最大化的策略。我们使用自平均特性来分析潜在的最小投资风险和提供最佳回报率的策略的集中投资水平。我们将我们的方法所得结果与运筹学方法所得结果以及使用最优投资组合进行数值模拟所得结果进行了比较。我们的方法和数值模拟的结果是一致的，但它们不同于运筹学方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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