mean variance 中文意思是什麼

Then sharpe, linter, mossion and ross, etc. developed markowitz ' s mean - variance model, leaded to standard investment models like capital asset pricing model ( capm ), single - index model and arbitrage pricing theory ( apt )

后經sharpe ， litner ， mossion和ross等人發揚光大，提出了capm ， apt等標準投資模型，完成了資本資產定價的問題。

On the one hand, the author discusses markowitz ' s mean - variance portfolio selection model, single - index portfolio selection model, and simplified model of optimal portfolio selection. at the same time, based on the rules of optimal portfolio selection and other risk - metric indices, the author also discusses mean - absolute deviation model, mean - semivariance model and mean - value at risk model. on the other hand, the author discusses the asset pricing model, including the capital asset pricing model ( capm ), the multi - factor asset pricing model, and the arbitrage pricing model ( apt )

一方面，作者討論了馬科維茲的均值-方差資產組合選擇模型、單指數資產組合選擇模型、最優資產組合選擇的簡化模型，同時根據最優資產組合選擇原則和其他風險度量指標，討論了均值-絕對離差、均值-半方差和均值-風險價值資產組合選擇模型；另一方面，作者討論了資產定價模型，包括多因素資產定價模型和套利定價模型，特別是在四種因素變量的基礎上，探討多因素資產定價模型。

Theory of portfolio optimization is an important part of the modern ? nance in - vestment theories, which uses mathematical facilities such as convex analysis, random analysis, nonsmooth analysis, ( nonlinear ) programming etc, combined with the mean - variance method the basic method of modern portfolio theory. by setting up mathe - matical models, discussed the investment rules of ? nance market and o ? ered theoretic guide for investors

投資組合優化理論是現代金融投資理論的重要組成部分，它運用凸分析、隨機分析、非光滑優化、 （非）線性規劃等數學工具，並與現代投資組合理論的基本方法均值方差方法相結合，通過建立數學模型討論金融市場投資規律並為個人或機構投資者提供理論指導。

The error is related to the two rank partial derivative of the flux function to each factor and the mean variance distribution of each factor on each grid point. the statistical - dynamical parameterization scheme involves the both conditions, therefore, it is more practical for the east china moist region than the mosaic method

另而自乞計一動刀寧腸則院含考慮了要紊的二階偏導數及其在網格元上的分佈的均方差，因而該方案比馬賽克法考慮更為周全（至少在東部涅潤區如此） 。

By using ncep / ncar reanalysis data of height and wind, the inter - monthly lpac map, the climate lapc map, inter - annual anomaly map and mean variance map of monthly wind field of 850 and 500hpa and monthly height field of 850, 500, 150, 30hpa are calculated in a globe - belt area, which situates between 30 s and 75 n, from december 1957 to december 1997, according them we analysis the rule of the season transfer and anomaly of nh mean circulation. the results show that the climate map of lapc can describe the seasonal transfer process of large scale circulation better. the advance process of summer circulation establish is form south to north at the middle and lower level of the troposphere, that is reflected primly in the inter - monthly wind and pressure map of lapc ; at lower lever of stratosphere, the establish process is simulate to that of troposphere, and reflect of process of that the south asia high toward plateau ; at middle stratosphere the summer circulation establish begins at middle and high latitude initially, and then transmits to low latitude gradually, while the seasonal variability in mid - stratosphere is stronger than it in troposphere and low - stratosphere

利用ncep ncar再分析高度場和風場資料，計算了30 s 75 n球帶區域1957年12月至1997年12月逐月850 、 500hpa風場及850 、 500 、 150 、 30hpa高度場月際局地型相似系數圖、多年平均圖（即氣候lpac圖） 、年際異常圖及均方差圖，在此基礎上，分析了北半球平均環流季節轉換及其異常的規律。分析表明，氣候局地型相似系數圖較好地給出了大尺度環流季節轉換發生的過程：在對流層中、下部，風、壓場月際局地型相似系數圖清楚地反映了夏季型環流建立由南向北的推進過程；低平流層夏季型環流的建立與對流層接近，其中，南亞高壓上高原過程有明顯反映：中平流層，夏季型環流的建立明顯表現為從中、高緯度開始，逐步向低緯傳播的特徵，且變化較對流層和低平流層明顯。

Mean, variance, standard deviation, coefficient of variation of fourteen vital morphological characters indicated that great diversity existed either among species or among populations, with cv ranging from 28. 89 - 122. 36 % ( except dtm, which has a cv of 4. 72 % ). correlation analysis indicated that il showed a significant positive correlations with pfk ll and lw ( p < 0. 05 ), but a negative correlation with nm ( p < 0. 05 ). there were also strong positive correlations between each other of ll, lw, la and sw

相關分析表明，節間長度與株高、葉長、葉寬呈顯著正相關，而與主莖節數呈顯著負相關；葉長、葉寬、葉面積、千粒重四個性狀相互之間存在極顯著正相關；干重和單株種子產量兩者之間存在極顯著正相關；出苗率與千粒重之間存在顯著負相關；生長習性與分枝數之間存在顯著正相關；全生育天數與生長習性之間存在顯著負相關。

With the perspective of risk transferring, this thesis focuses on discussing the reinsurance optimization model under mean - variance principle, utility theory and sharpe ' s ratio, their meanings, basic ideas and conditions applicable. at present, china has been a member of wto

從原保險人利用再保險轉移風險的目的出發，本文集中討論了均值方差原理、效用原理及夏普比率（風險收益比率）下的再保險最優化模型，三種原理的含義、基本思想及所適用的條件。

In the forth part, the paper uses markowtiz mean - variance analysis in portfolio choice and capital markets and professor zhang zhongzhen pivoting operation to solve portfolio loans

第四部分，文章利用markowtiz的資產選擇理論和張忠楨教授的樞軸旋轉運演算法試圖解決貸款組合問題。

He is a member of the engineering panel of rgc. recently professor zhou has turned his research attention to applications in finance and insurance, and has established a systematic theory on extending markowitz s nobel - prize - winning mean - - variance portfolio selection model from single period to continuous time

周教授最近把研究興趣轉向金融及保險方面的應用，並已系統地建立了將harrymarkowitz博士的諾貝爾獎得獎工作從單期轉為連續時間之理論。

3, game theory analytics has been applied to improve mean - variance method of h. m. markowitz in fields of zero - sum game and non zero - sum game

3 、運用博弈分析方法對馬克威茨的均值一方差法在零和博弈和非零和博弈的范疇內進行了改進。

Since 1952 the markowitz ’ s mean - variance portfolio theory inception, sur - rounding this issue which how to measure risks, it has generated a lot of risk mea - surement methods and bring a lot of portfolio models, such as mean - semivariancemethods, mean - downside risk methods, mean - absolute deviation methods, mean - absolute semideviation methods, mean - absolute downside risk, and soon. 1999, duarte proposed a portfolio optimization uniform model that unifiedthe six methodologies mentioned above

自從1952年markowitz的均值-方差投資組合理論問世以來，圍繞著如何對風險進行度量這一問題先後產生了許多的風險度量方法，帶來了很多的投資組合模型，如均值-半方差法、均值-下滑風險方法、均值-絕對離差方法、均值-絕對半離差方法、均值-絕對下滑風險方法等等。

Secondly, this thesis evaluates some main theories and method about market risk measurement. such as mean - variance criterion of markowitz and risk decentralization principal, single - factor model, multifactor model, down - risk model, black - scholes model and var model based on the calculation of loss. it also discusses the suitable conditions and defects of every theory and method, and think that var is a more perfect method for risk measurement by comparison

其次，評價了有關市場風險度量的一些主要理論和方法，如markowitz的均值?方差準則和風險分散原則、 capm模型和風險的市場因素模型、單因素模型、多因素模型、 downside - risk 、期權定價理論和現代基於損失計量風險的var等風險度量理論，並討論了各種風險度量方法的具體適用條件及相應的缺陷。

In the framework of the markowitz mean - variance analysis, the modern portfolio theory is applied to the empirical study of the chinese stock market with emphasis of risk control and risk diversification

在馬克威茨的均值-方差分析體系下，本文以投資人的風險分散和風險控制為主線探索現代資產組合理論在我國股票市場的應用。

Based on the about 50 years development of mean - variance portfolio theory, this paper analyzes and discusses the relationship between return and risk of portfolios by using theoretical analysis and empirical study

本文以五十年來均值-方差資產組合理論的演進和發展為線索，採用理論分析和實證研究的方法，分析和探討資產組合的收益-風險關系。

Then, this paper empirically tested the validation and predictive accuracy of different var risk management model in the domestic financial market. finally, with the analysis of modem financial risk management development trend and the current domestic financial risk management situation, this paper made a prospect for the application of this model in the construction of domestic financial risk management system. through the analysis, the main conclusions are as follows : ( l ) the traditional mean - variance model is the special example of the portfolio selection based on the var risk management model for the case that the returns of the portfolio are assumed to be normally distributed ; compared with the mean - variance model, the var risk management model is more comprehensive and accurate in the measurement of the portfolio risk, so based on the var model, the investors can allocate the asset more effectively. ( 2 ) the var risk management model can provide the timely and comprehensive risk information for the top risk manager, so it is very helpful to the improvement of total risk management efficiency. ( 3 ) based on the var model, the raroc performance valuation approach can reflect the real performance of the portfolio manager and provide the coherent standard for the allocation of risk limitation and the construction of the incentive compatibility constraint mechanism in the financial instiutions

通過研究分析，本文主要得出如下結論： （ 1 ）傳統的markowitz均值? ?方差模型僅僅是在資產組合收益率正態分佈假設條件下基於var風險管理模型進行資產組合選擇的特例，與均值? ?方差模型中的方差風險度量方法相比， var風險管理模型能夠更全面、更貼切地衡量資產組合的風險，且基於此模型能夠更有效地進行資產配置決策； （ 2 ） var風險管理模型能夠滿足更高層次風險管理者對風險信息的需求，有助於整體風險管理效率的提高； （ 3 ）基於var風險管理模型的raroc績效評價能夠反映資產組合管理人的真實業績，從而為金融機構風險限額的分配和激勵約束機制的制定提供統一的標準； （ 4 ）國內證券市場資產組合收益率服從正態分佈的假設明顯不成立，實證檢驗表明基於資產組合收益率正態分佈假設條件下的方差? ?協方差模型對國內資產組合風險的預測存在較大的偏差，由於文中證明在收益率正態分佈假設條件下基於方差? ?協方差模型進行資產組合選擇的結果等價于markowitz的均值? ?方差模型，因此，均值? ?方差模型對國內資產組合風險的預測同樣會存在著較大的偏差，而半參數var風險管理模型則能夠取得較好的預測衡量效果； （ 5 ） var風險管理模型符合未來金融風險管理的發展趨勢，基於var風險管理模型建立內容提要風險限額內控體系、風險信息披露體系和業績評價體系，並進行金融監管，將有助於國內金融機構內部風險管理方法和外部監管技術跟上國際金融風險管理的發展潮流。

In regards to techniques employed in active asset allocation, the author found that models applied in asset allocation can be divided into the optimal mean - variance model and risk averse asset allocation model, according to their different risk levels, and they can also be divided into linear asset allocation model and non - linear asset allocation model according to whether the asset return follows a normal distribution

關于積極資產配置的技術，作者研究結論認為，積極資產配置模型按對風險的不同測度標準可區分為，均值方差最優化框架下的資產配置模型和下偏風險厭惡框架下的資產配置模型兩類；按是否假定資產收益服從正態分佈，可區分為線性資產配置模型和非線性資產配置模型。

Markowitz ' s mean - variance model indicates that the optimum risk asset being the market portfolio

Markowitz的均值-方差模型表明，投資者的最優風險資產為市場投資組合。

Study work mainly is : part one, look back and look ahead the financial development history and present situation that derives market and the futuristic tendency, summarize domestic and international theory and method about venture capital investment, discuss establishment and develop the financial necessariness and important meaning of our country that derives market ; part two, establishthe relation between investment risk and the radom expectation effectiveness of investor ? verage stochastic dominance of asset profit ; part three, covari - ance matrix in mean - variance model is analysed with sensitivity analysis and fuzzy analysis ; part four, have looked back the concept of option, the price relation of option and black - scholes option price formula, have put forward option price formula of the discounted value of option present value ; part five, have looked back the financial concept and its classfication that financial derivatives risk, have summarized financial risk management theory, measured and assessed methods of financial derivatives risk

主要研究工作為：第一章，回顧和展望金融衍生市場的發展歷史、現狀和未來，綜述國內外關于風險投資的理論與方法，論述建立和發展我國金融衍生市場的必要性及重要意義；第二章，建立投資者的隨機期望效用與投資風險之間的關系? ?平均隨機占優；第三章，均值方差模型協方差矩陣的靈敏度分析與模糊分析；第四章，回顧了期權的概念、期權的價格關系和black - scholes期權定價公式，提出了歐式看漲期權價格的折現值所滿足的微分方程；第五章，回顧了金融衍生品風險的概念及其分類，總結了金融衍生品的風險管理理論和金融衍生品風險計量和評估方法。

This model is based on the multi - factor model given by ma yongkai and tang xiaowo who simplify markowitz ' s model for portfolio investment with the help of ross " arbitrage pricing theory. compared with the markowitz ' s mean - variance model, the new model has the following merits : 1

這個模型是在馬永開和唐小我利用馬科維茨均值-方差模型和羅斯套利定價理論導出的多因素證券組合投資決策模型的基礎上給出的。

Chapter 2 discusses reinsurance optimization model under mean - variance principle. aiming at change stop loss reinsurance, it derives optimal conclusions of both individual model and collective model

第二章討論了均值方差原理下的再保險最優化模型及其適用條件，針對停止損失再保險，得出個體模型與集合模型下的最優結論。