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Liu - Google Patents

Research on Asset Allocation Based on Quantitative Investment

Liu

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Document ID
8863202585576605337
Author
Liu Y

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This paper discusses the application of quantitative investment models in asset allocation. The main model studied is the Markowitz model. The Markowitz model calculates the excess return, covariance and standard deviation to obtain the Sharpe ratio. Maximizing the Sharpe …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q10/00—Administration; Management
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    • G06Q10/00—Administration; Management
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    • G—PHYSICS
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    • G05B13/02—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric
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    • G05B13/027—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric the criterion being a learning criterion using neural networks only

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