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Probability Criterion Model of Portfolio Based on the Stable Distribution

机译：基于稳定分布的投资组合概率准则模型

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摘要

Considered the phenomenon of the heavy tail and excess kurtosis of the financial data, the portfolio model with probability criterion based on the stable distribution is investigated in this paper. In this model, the probability of attaining expected profit is looked upon the goal function and maximize it. The certain equivalent model is built. Then, the ECF method and the Stable program estimate the parameters and the simultaneous perturbation algorithm for stochastic optimization is implemented to solve the probability criterion model. Finally, under the hypothesis without commissions, an illustrative example is given in order to prove the feasibility of solving the model
机译：考虑到财务数据出现粗尾现象和峰度过大的现象，本文研究了基于概率分布的基于概率分布的证券投资组合模型。在此模型中，将获得预期利润的可能性视为目标函数并将其最大化。建立一定的等效模型。然后，通过ECF方法和Stable程序对参数进行估计，并采用随机扰动同时扰动算法求解概率准则模型。最后，在没有佣金的假设下，给出了一个例子说明该模型求解的可行性。

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