| 宋立新,赵越,冯敬海,黄晓薇.非均方准则函数下增长率预测[J].,2008,(3):465-468 |
| 非均方准则函数下增长率预测 |
| A prediction of growth rate by non-mean-square error criterion functions |
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| DOI：10.7511/dllgxb200803028 |
| 中文关键词: 增长率 对称熵准则函数 Linex 准则函数 Jensen不等式 |
| 英文关键词: growth rate symmetric entropy criterion function Linex criterion function Jensen inequality |
| 基金项目:国家自然科学基金资助项目(10271049). |
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| 中文摘要: |
| 资产组合的远期收益常为资本持有者及经济学研究人员所关注，在众多影响因素中，资本市场上外汇、股票、期货等交易较大地依赖于该资产未来的增长率，为此研究了收益率为未知时资产组合预期增长率预测值与真实值的极限比变化趋势．分别在对称熵准则函数和Linex准则函数下得出了最优预测值，进一步研究了在这两个准则条件下，实际增长率为独立同分布情况时估计值与真实值之比的极限情形，在大样本情形下讨论了风险水平与二者比值的关系，并经过真实数据模拟验证了所得结论． |
| 英文摘要: |
| The future return of portfolios usually attracts the attention of economists and capital holders. Among many factors the bargains of exchange, stock and futures largely depend on the growth rate of the portfolios in the future. The limiting behavior of the trend of the valuation of the growth rate compared with the real development is considered when the payoffs of an investment portfolio are uncertain. The best prediction value is given by criterions of the symmetric entropy criterion function and Linex criterion function. Then the relation between the risk level and the ratio of the valuation to the real one is given for independent identically distributed growth rates in large sample, and a simulation is built using true data to verify the conclusions. |
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