英文标题：
《Replica Analysis for Portfolio Optimization with Single-Factor Model》
---
作者：
Takashi Shinzato
---
最新提交年份：
2017
---
英文摘要：
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where the return rate is described with a single-factor model and compare the findings obtained from our proposed methods with correlated return rates with those obtained with independent return rates. We then analytically assess the increase in the investment risk when correlation is included. Furthermore, we also compare our approach with analytical procedures for minimizing the investment risk from operations research.
---
中文摘要：
在本文中，我们使用复制分析来研究资产回报率之间的相关性对投资组合优化问题解的影响。我们考虑了回报率用单因素模型描述的情况下最优解的行为，并将我们提出的方法与相关回报率的结果与独立回报率的结果进行了比较。然后，我们分析评估了包含相关性时投资风险的增加。此外，我们还将我们的方法与分析方法进行了比较，以最大限度地降低运筹学的投资风险。
---
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
--

---
PDF下载：
-->