基于混频数据的金融高阶矩建模及其应用研究-宝阳悦读网

　　　　

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基于混频数据的金融高阶矩建模及其应用研究

作者：杨冬

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大量研究已经表明，在投资者偏好为非二次和（或）资产收益率非正态条件下基于均值-方差模型构建的投资组合权重往往不是很优，因而会存在较为严重的福利损失，基于高阶矩建模及其投资组合优化研究已经得到了国内外学者的广泛关注。本书在结合前人已有研究的基础上，基于混频因子模型方法，通过更高频率数据的使用使得模型中包含更多的历史信息以及增加因子个数提高对收益率的解释能力两种途径，力图解决高阶矩估计面临的“维数灾难”问题，同时进一步提高高阶矩投资组合的表现。

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