摘要
为克服现有关于风险投资的投资组合选择研究所存在的诸如相关参量在实际中不易确定、对投资风险的刻画过于粗糙等不足,本文依据风险投资的特点,提出了直接基于对风险投资项目的综合评价值来预测其未来投资效益与风险的新方法,给出了两种更合理的风险度量,并由此导出了相应的新型风险投资的投资组合选择模型,模拟结果说明了新度量和模型的合理性和实用价值.
In order to overcome existing venture capital portfolio selection models＇ shortcomings such as the difficulty in determining relevant coefficients＇ values and the coarse and simple risk measure, we propose an original strategy to model the venture capital investment＇s future return and risk by directly utilizing integrated evaluation scores about venture capital investments. Two new risk measures are derived to better describe the venture capital investment＇s risk properties, from which we establish correspondingly new portfolio selection models for the venture capital investment. Simulation results show the reasonability and practicality of our new risk measures and corresponding portfolio selection models.
出处
《数学的实践与认识》
CSCD
北大核心
2009年第4期27-35,共9页
Mathematics in Practice and Theory
基金
国家自然科学基金面上项目(10571141)
国家自然科学基金重点项目资助(70531030)
关键词
风险企业
投资效益
风险
评价值
投资组合选择
venture enterprises
investment return
risk
evaluation scores
portfolio selection
