Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
In order to improve the bit allocation efficiency of Directionlet coding,a modified Breiman,Friedman,Olshen and Stone(BFOS) algorithm is suggested for rate consistent truncation.Two modifications are:(1) Dominant dire...In order to improve the bit allocation efficiency of Directionlet coding,a modified Breiman,Friedman,Olshen and Stone(BFOS) algorithm is suggested for rate consistent truncation.Two modifications are:(1) Dominant direction adjustment is proposed to balance the cost of sparse description and segment artifacts caused by discontinuous adjacent direction pairs.(2) Priority related merging is also proposed in the BFOS distortion list to find an optimal trimming element for unequal-importance bit allocation.Experimental results show that block effects could be removed without obvious bpp increment by selecting the dominant direction and its adjustment according to neighborhood homogeneity,and combined multi-PRIority(PRI) based merging of the M-ordered list offers unequal importance allocation and leads to a Peak Signal-to-Noise Ratio(PSNR) gain of 0.4 dB～1.3 dB.展开更多
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
基金Supported by The National Natural Science Foundation of China (No.60972133)Guangzhou Natural Science Foundation Team Project (No.9351064101000003 & 8451008901000615)
文摘In order to improve the bit allocation efficiency of Directionlet coding,a modified Breiman,Friedman,Olshen and Stone(BFOS) algorithm is suggested for rate consistent truncation.Two modifications are:(1) Dominant direction adjustment is proposed to balance the cost of sparse description and segment artifacts caused by discontinuous adjacent direction pairs.(2) Priority related merging is also proposed in the BFOS distortion list to find an optimal trimming element for unequal-importance bit allocation.Experimental results show that block effects could be removed without obvious bpp increment by selecting the dominant direction and its adjustment according to neighborhood homogeneity,and combined multi-PRIority(PRI) based merging of the M-ordered list offers unequal importance allocation and leads to a Peak Signal-to-Noise Ratio(PSNR) gain of 0.4 dB～1.3 dB.
