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- W2364375093 abstract "This paper treats securities return as a random variable,which follows a stochastic Fama-French three factor model.By assuming these three factors to follow a normal distribution,we could acquire the distribution knowledge of securities' return.Then,a stochastic investment portfolio optimization model based on partial replication strategies is constructed.The absolute risk upper limit of the investment portfolio is controlled by probabilistic constraint in the model.In terms of EIF,a lower bound on the excess return is given by imposing a VaR stochastic constraint.A buy-in threshold constraint is also taken into consideration in the purpose of reducing the management fees and increasing the liquidity. Finally,the stochastic optimization model is transformed into a deterministic model according to the distribution information of the securities' return and the empirical research based on the China stock market is conducted." @default.
- W2364375093 created "2016-06-24" @default.
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- W2364375093 date "2012-01-01" @default.
- W2364375093 modified "2023-09-26" @default.
- W2364375093 title "Enhanced Index Fund Based on Stochastic Factor Model" @default.
- W2364375093 hasPublicationYear "2012" @default.
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