The returns and risks of investment portfolio in a financial market ¬リニ
نویسندگان
چکیده
The returns and risks of investment portfolio in a financial system was investigated by constructing a theoreticalmodel based on the Hestonmodel. After the theoreticalmodel and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation results of the theoretical model and the real financial data obtained from Dow Jones Industrial Average are in good agreement; (ii) The maximum dispersion of the investment portfolio is associatedwith themaximum stability of the equity portfolio return andminimal investment risks; (iii) An increase of the investment period and aworst investment period are associated with a decrease of stability of the equity portfolio return and a maximum investment risk, respectively. © 2014 Elsevier B.V. All rights reserved.
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