华东师范大学学报(自然科学版) ›› 2008, Vol. 2008 ›› Issue (5): 27-34.

• 应用数学,统计学 • 上一篇    下一篇

H值相关定理及证明

梁亦孔1,柴俊2   

  1. 1.上海工程技术大学基础学院,上海201600;2.华东师范大学数学系, 上海200241
  • 收稿日期:2007-11-27 修回日期:2008-01-04 出版日期:2008-09-25 发布日期:2008-09-25
  • 通讯作者: 柴俊

Some theorems about the H-value rule(Chinese)

LIANG Yi-kong1,CHAI Jun2   

  1. 1.College of Fundamental Studies, Shanghai University of Engineer Science, Shanghai 201600, China; 2.Department of Mathematics, East China Normal University, Shanghai 200241,China
  • Received:2007-11-27 Revised:2008-01-04 Online:2008-09-25 Published:2008-09-25
  • Contact: CHAI Jun

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摘要： 进一步研究如何利用H值来筛选证券组.推导了关于H值组成部分相关量的具体表达式,并得到了证券组中去掉最“差”的一种证券后H值改变量满足的一个不等式.

关键词: H值, Treynor比率, 市场指数模型, 证券数目, H值, Treynor比率, 市场指数模型, 证券数目

Abstract: Further study was given in this paper to the H value as a standard for evaluation of the quality of a security set. The H
value in terms of its related parameters was characterized. An
inequality which the changed H value satisfies after removing the
"worst" security from the set was proved.

Key words: Treynor ratio, marketi ndex model, number of the securities , H-value, Treynor ratio, marketi ndex model, number of the securities

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