CN109978697A - A kind of method and apparatus of virtual sifting destination financial product - Google Patents
A kind of method and apparatus of virtual sifting destination financial product Download PDFInfo
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Abstract
The present invention provides a kind of method and apparatus of virtual sifting destination financial product, the method screens library by obtaining at least one quantitative change factor with the high-quality financial product of training, the quantitative change factor includes at least: the income and standard deviation of the index of destination financial product in a period of time, the exchange rate in a period of time between various countries' currency, the macroscopical factor of the economy of target state in a period of time, economic macroscopical factor includes at least PPI, CPI and unemployment rate, the advertisement data of the newest publication of the Central Bank, various countries, the advertisement data includes at least medium term lending convenience and mortgage supplementary loan, and the major event of national governments and political policy；The high-quality financial product for meeting goal condition is picked out by Markovitz model and preset threshold again.
Description
Technical field
The present invention relates to technical field of data processing more particularly to a kind of methods and dress of virtual sifting destination financial product
It sets.
Background technique
China's commercial banks are still at an early stage in terms of the utilization of pressure test.After financial crisis, bank, China
Industry also gradually pays close attention to the potential threat that fertile tail event implies.The Banking Supervision Commission requires each state-run commercial bank, stock in the last ten-days period in 2007
" risk self-inspection " is unfolded in the municipal commercial bank of Fen Zhi business bank and 50,000,000,000 yuan of financial product scale or more, and " risk from
Look into " it is also risk analysis method based on the quantitative analysis, and by measuring and calculating bank in poles such as the small probability times for encountering hypothesis
The loss that may occur under rough sledding is held, the negative effect that these losses come bank's profitability and capital is analyzed, into
And assessment and judgement are made to the fragility of Dan Jia bank, bank group and banking system, and take the necessary measures.In recent years,
Whether financial institution or financial supervision organization are all attached great importance to implement pressure test in risk management processes, existing at present
VaR scene structured approach can be used to assess risks and assumptions stability bandwidth related coefficient occur extreme variation when to portfolio
The possibility of value influences, but without a kind of method according to Markovitz model discrimination destination financial product.
Summary of the invention
The present invention is directed to the shortcomings that existing way, and the method and apparatus for proposing a kind of virtual sifting destination financial product are used
To solve the above problem of the existing technology.
According to the first aspect of the invention, a kind of method for establishing model to screen destination financial product is provided, until
Include the following steps: less
To train high quality assets to screen library, the quantitative change factor includes at least S11 amount to obtain variable factor: the in a period of time
Income and standard deviation, the exchange rate in a period of time between various countries' currency, target in a period of time of the index of one destination financial product
The macroscopical factor of the economy of state, economic macroscopical factor include at least PPI, CPI and unemployment rate, the newest hair of the Central Bank, target state
The advertisement data of cloth, the advertisement data include at least the influence of medium term lending convenience and mortgage supplementary loan and national governments
The event of economic factor and political policy；
S12 finds out the equilibrium income of single financial product according to the Market Weight of the first object financial product respectively,
The financial product includes at least stock, commodity, futures, fund and/or bond, the equilibrium income are as follows:
Π=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance square of single financial product
Battle array, E (r) indicate marketing-mix income, rfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τΣ)-1Π+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when the first object
When financial product type is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be turned
It turns to:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, institute
It states risk free return and refers to income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U:U=E (r)-of portfolio under the risk level
0.5Aσ2
Wherein, the investment risk detest value A is the detest journey to the first object financial product of user's input
Angle value, and A ∈ [0,1], the value of A is 0 when risk free return；
S13 obtains the second destination financial product mix under target risk level:
The point of contact of the value of utility U and financial product city field wire in the case where particular risk is horizontal, as under the risk level
The second destination financial product mix, financial product city field wire refers to the expected rate and standard deviation for showing efficient combination
Between a kind of simple linear relationship a ray.
Further, after the second destination financial product mix obtained under target risk level, pressure test is carried out,
Calculate the second destination financial product with combine market economy it is also unsound, be easy big rise and big fall in the environment of maximum return
Remove and return this duration.
Further, the second destination financial product mix obtained under target risk level further includes, when described the
When two destination financial product mixes include at least two kinds of single financial products, the pass of the second destination financial product mix is established
Connection property matrix, then the correlation calculations of the single financial product of the i and the single financial product of jth kind are as follows:
ρ=Cov (ri,rj)/σriσrj
Then correlation matrix is expressed as follows:
Further, the second destination financial product mix obtained under target risk level further includes setting second
Single financial product weight in destination financial product is to be fitted the weighting income of Vehicles Collected from Market, when market only has A, two kinds of mesh of B
When marking the single financial product in financial product, and the income of A destination financial product is a%, weight b%, B destination financial produces
The income of product is c%, weight d%, then A, and the weighting income of two kinds of destination financial products of B is a%*b%+c%*d%.
On the other hand, it the present invention provides a kind of device of virtual sifting destination financial product, includes at least:
A21 high quality assets screen library, for by amount to obtain variable factor with train high quality assets screen library, the quantitative change because
Son includes at least: the income and standard deviation of the index of first object financial product, various countries' currency in a period of time in a period of time
Between the exchange rate, in a period of time target state the macroscopical factor of economy, economic macroscopical factor includes at least PPI, CPI and unemployment
Rate, the advertisement data of the newest publication of the Central Bank, target state, the advertisement data includes at least medium term lending convenience and mortgage is mended
Fill the event and political policy of the influence economic factor of loan and national governments；
A22 computing module is produced for finding out single finance respectively according to the Market Weight of the first object financial product
The equilibrium income of product and following calculating:
The financial product includes at least stock, commodity, futures, fund and/or bond, the equilibrium income are as follows:
∏=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance square of single financial product
Battle array, E (r) indicate marketing-mix income, rfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τ∑)-1Π+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when the first object
When financial product type is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be turned
It turns to:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, institute
It states risk free return and refers to income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U:U=E (r)-of portfolio under the risk level
0.5Aσ2
Wherein, the investment risk detest value A is the detest journey to the first object financial product of user's input
Angle value, and A ∈ [0,1], the value of A is 0 when risk free return；
A23 screening module, for obtaining the second destination financial product mix under target risk level:
The point of contact of the value of utility U and financial product city field wire in the case where particular risk is horizontal, as under the risk level
The second destination financial product mix, financial product city field wire refers to the expected rate and standard deviation for showing efficient combination
Between a kind of simple linear relationship a ray.
Further, further include test module, for carrying out pressure, market economy it is also unsound, be easy big rise and big fall
In the environment of test the second destination financial product mix and withdraw and return this duration to calculate maximum.
Further, the screening module is also used to include at least two kinds of lists when the second destination financial product mix
When a financial product, the relevance matrix of the second destination financial product mix is established, then the single financial product of the i and
The correlation calculations of the single financial product of j kind are as follows:
ρ=Cov (ri,rj)/σriσrj
Then correlation matrix is expressed as follows:
Further, the screening module is also used to be arranged the single financial product weight in the second destination financial product
To be fitted the weighting income of Vehicles Collected from Market, when market only has A, when single financial product in two kinds of destination financial products of B, and A
The income of destination financial product is a%, the income of weight b%, B destination financial product is c%, weight d%, then A, B two
The weighting income of kind destination financial product is a%*b%+c%*d%.
Compared with prior art, the beneficial effects of the present invention are: it is high-quality with training by obtaining at least one quantitative change factor
Financial product screens library, and the quantitative change factor includes at least: the income and standard of the index of destination financial product in a period of time
The exchange rate poor, in a period of time between various countries' currency, the macroscopical factor of the economy of target state in a period of time, economic macroscopical factor
Including at least the advertisement data of PPI, CPI and unemployment rate, the newest publication of the Central Bank, various countries, during the advertisement data includes at least
Phase debt-credit is convenient and mortgages the major event of supplementary loan and national governments and political policy；Again by Markovitz model and
Preset threshold can accurately pick out the high-quality financial product for meeting goal condition.
The additional aspect of the present invention and advantage will be set forth in part in the description, these will become from the following description
Obviously, or practice through the invention is recognized.
Detailed description of the invention
Above-mentioned and/or additional aspect and advantage of the invention will become from the following description of the accompanying drawings of embodiments
Obviously and it is readily appreciated that, in which:
Fig. 1 is the method flow diagram of one of embodiment of the present invention virtual sifting destination financial product；
Fig. 2 is the structure drawing of device of one of embodiment of the present invention virtual sifting destination financial product.
Specific embodiment
In order to enable those skilled in the art to better understand the solution of the present invention, below in conjunction in the embodiment of the present invention
Attached drawing, technical scheme in the embodiment of the invention is clearly and completely described.
In some processes of the description in description and claims of this specification and above-mentioned attached drawing, contain according to
Multiple operations that particular order occurs, but it should be clearly understood that these operations can not be what appears in this article suitable according to its
Sequence is executed or is executed parallel, and serial number of operation such as 101,102 etc. is only used for distinguishing each different operation, serial number
It itself does not represent and any executes sequence.In addition, these processes may include more or fewer operations, and these operations can
To execute or execute parallel in order.It should be noted that the description such as " first " herein, " second ", is for distinguishing not
Same message, equipment, module etc., does not represent sequencing, does not also limit " first " and " second " and be different type.
Following will be combined with the drawings in the embodiments of the present invention, and technical solution in the embodiment of the present invention carries out clear, complete
Site preparation description, it is clear that described embodiment is only a part of example of the present invention, is implemented instead of all the embodiments.It is based on
Embodiment in the present invention, those skilled in the art's every other implementation obtained without creative efforts
Example, shall fall within the protection scope of the present invention.
Those skilled in the art of the present technique are appreciated that unless otherwise defined, all terms used herein (including technology art
Language and scientific term), there is meaning identical with the general understanding of those of ordinary skill in fields of the present invention.Should also
Understand, those terms such as defined in the general dictionary, it should be understood that have in the context of the prior art
The consistent meaning of meaning, and unless idealization or meaning too formal otherwise will not be used by specific definitions as here
To explain.
Embodiment one
As shown in Figure 1, providing a kind of of one embodiment of the invention establishes model to screen the side of destination financial product
Method includes at least following steps:
To train high quality assets to screen library, the further quantitative change factor includes at least S11 amount to obtain variable factor: a period of time
The income and standard deviation of the index of interior first object financial product, the exchange rate in a period of time between various countries' currency, in a period of time
The macroscopical factor of the economy of target state, further economic macroscopical factor include at least PPI, CPI and unemployment rate, target state center silver
The advertisement data of the newest publication of row, further advertisement data include at least medium term lending convenience and mortgage supplementary loan, and each
The event of the influence economic factor of government, state and political policy；
Medium term lending convenience is that the Central Bank provides the monetary policy tools of mid-term monetary base, and object is to meet macroscopic view to examine
Business bank, the policy bank that careful management requires, take the mode of pledging to provide, and need to provide national debt, central bank bill, policy
The bond high grades such as financial bond, high-grade credit debt are as qualified collateral security.
S12 finds out the balanced of single financial product according to the Market Weight of further first object financial product respectively and receives
Benefit, further financial product include at least stock, commodity, futures, fund and/or bond, further equilibrium income are as follows:
Π=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance square of single financial product
Battle array, E (r) indicate marketing-mix income, rfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τ∑)-1∏+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when further first
When destination financial product category is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be turned
It turns to:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, institute
It states risk free return and refers to income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U:U=E (r)-of portfolio under the risk level
0.5Aσ2
Wherein, further investment risk detest value A is user's input to further first object financial product
Detest degree value, and A ∈ [0,1], the value of A is 0 when risk free return；
S13 obtains the second destination financial product mix under target risk level:
The point of contact of further value of utility U and financial product city field wire in the case where particular risk is horizontal, as the risk water
The second destination financial product mix under flat, further financial product city field wire refer to the expected rate for showing efficient combination
A kind of one ray of simple linear relationship between standard deviation.
Further, after further obtaining the second destination financial product mix under target risk level, pressure is carried out
Test calculates further second destination financial product to combine the environment in also unsound, the easy big rise and big fall of market economy
Under maximum withdraw and return this duration.
Further, further obtain target risk level under the second destination financial product mix, further include, when into
When second destination financial product mix of one step includes at least two kinds of single financial products, further second destination financial is established
The relevance matrix of product mix, then the correlation calculations of the single financial product of the i and the single financial product of jth kind are as follows:
ρ=Cov (ri,rj)/σriσrj
Then correlation matrix is expressed as follows:
Further, the second destination financial product mix under target risk level is further obtained, further includes being arranged
Single financial product weight in second destination financial product is to be fitted the weighting income of Vehicles Collected from Market, when market only has A, B two
When planting the single financial product in destination financial product, and the income of A destination financial product is a%, weight b%, B target gold
The income for melting product is c%, weight d%, then A, and the weighting income of two kinds of destination financial products of B is a%*b%+c%*d%.
Embodiment two
As shown in Fig. 2, a kind of device of virtual sifting destination financial product of another embodiment of the present invention is provided, until
Include: less
A21 high quality assets screens library, further to measure for training high quality assets to screen library by amount to obtain variable factor
Variable factor includes at least: the income and standard deviation of the index of first object financial product, various countries in a period of time in a period of time
The exchange rate between currency, the macroscopical factor of the economy of target state in a period of time, further economic macroscopical factor include at least PPI,
The advertisement data of CPI and unemployment rate, the newest publication of the Central Bank, target state, further advertisement data include at least medium term lending
The event and political policy of the influence economic factor of convenient and mortgage supplementary loan and national governments；
A22 computing module, for finding out single gold respectively according to the Market Weight of further first object financial product
Melt product equilibrium income and following calculating:
Further financial product includes at least stock, commodity, futures, fund and/or bond, further equilibrium income
Are as follows:
Π=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance square of single financial product
Battle array, E (r) indicate marketing-mix income, rfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τ∑)-1Π+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when further first
When destination financial product category is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be turned
It turns to:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, institute
It states risk free return and refers to income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U:U=E (r)-of portfolio under the risk level
0.5Aσ2
Wherein, further investment risk detest value A is user's input to further first object financial product
Detest degree value, and A ∈ [0,1], the value of A is 0 when risk free return；
A23 screening module, for obtaining the second destination financial product mix under target risk level:
The point of contact of further value of utility U and financial product city field wire in the case where particular risk is horizontal, as the risk water
The second destination financial product mix under flat, further financial product city field wire refer to the expected rate for showing efficient combination
A kind of one ray of simple linear relationship between standard deviation.
Further, further include test module, for carrying out pressure, market economy it is also unsound, be easy big rise and big fall
In the environment of test further second destination financial product mix and withdraw and return this duration to calculate maximum.
Further, further screening module is also used at least wrap when further second destination financial product mix
When including two kinds of single financial products, the relevance matrix of further second destination financial product mix is established, then the i is single
The correlation calculations of financial product and the single financial product of jth kind are as follows:
ρ=Cov (ri,rj)/σriσrj
Then correlation matrix is expressed as follows:
Further, further screening module is also used to be arranged the single financial product in the second destination financial product
Weight is to be fitted the weighting income of Vehicles Collected from Market, when market only has A, when single financial product in two kinds of destination financial products of B,
And the income of A destination financial product is a%, the income of weight b%, B destination financial product is c%, weight d%, then A, B
The weighting income of two kinds of destination financial products is a%*b%+c%*d%.
It is apparent to those skilled in the art that for convenience and simplicity of description, the system of foregoing description,
The specific work process of module and related work unit, can refer to corresponding processes in the foregoing method embodiment, herein no longer
It repeats.
In 2 embodiments provided herein, it should be understood that disclosed method and system or device or module
Or unit, it may be implemented in other ways.For example, embodiment of the method described above is only schematical, for example,
The division of the module, only a kind of logical function partition, there may be another division manner in actual implementation, such as multiple
Module or component can be combined or can be integrated into another system, or some features can be ignored or not executed.The work
It may or may not be physically separated for the unit of separate part description, component shown as a unit can be
Or it may not be physical unit, it can it is in one place, or may be distributed over multiple network units.It can be with
Some or all of the units may be selected to achieve the purpose of the solution of this embodiment according to the actual needs.
The above is only some embodiments of the invention, it is noted that for the ordinary skill people of the art
For member, various improvements and modifications may be made without departing from the principle of the present invention, these improvements and modifications are also answered
It is considered as protection scope of the present invention.
Claims (8)
1. a kind of method of virtual sifting destination financial product, which is characterized in that include at least following steps:
S11 amount to obtain variable factor is to train high quality assets to screen library, and the quantitative change factor includes at least: the first mesh in a period of time
Mark income and standard deviation, the exchange rate in a period of time between various countries' currency, the target state in a period of time of the index of financial product
The economic macroscopic view factor, economic macroscopical factor include at least PPI, CPI and unemployment rate, the newest publication of the Central Bank, target state
Advertisement data, the advertisement data include at least the influence economy of convenient medium term lending and mortgage supplementary loan and national governments
The event of factor and political policy；
S12 finds out the equilibrium income of single financial product according to the Market Weight of the first object financial product respectively, described
Financial product includes at least stock, commodity, futures, fund and/or bond, the equilibrium income are as follows:
Π=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance matrix of single financial product, E
(r) marketing-mix income, r are indicatedfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τ∑)-1Π+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when the first object finance
When product category is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be converted
Are as follows:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, the nothing
Risk income refers to the income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U of portfolio under the risk level:
U=E (r) -0.5A σ2
Wherein, the investment risk detest value A is the detest degree value to the first object financial product of user's input,
And A ∈ [0,1], the value of A is 0 when risk free return；
S13 obtains the second destination financial product mix under target risk level:
The point of contact of the value of utility U and financial product city field wire in the case where particular risk is horizontal, the as under the risk level
Two destination financial product mixes, financial product city field wire, which refers to, to be shown between the expected rate of efficient combination and standard deviation
A kind of simple linear relationship a ray.
2. the method according to claim 1, wherein second destination financial obtained under target risk level
After product mix, pressure test is carried out, it is also unsound, easy in market economy to combine to calculate the second destination financial product
Maximum in the environment of big rise and big fall withdraws and returns this duration.
3. the method according to claim 1, wherein second destination financial obtained under target risk level
Product mix further includes, when the second destination financial product mix includes at least two kinds of single financial products, described in foundation
The relevance matrix of second destination financial product mix, then the single financial product of the i is related to the single financial product of jth kind
Property calculate it is as follows:
Then correlation matrix is expressed as follows:
4. the method according to claim 1, wherein second destination financial obtained under target risk level
Product mix further includes that the single financial product weight in the second destination financial product is arranged to be fitted the weighting of Vehicles Collected from Market
Income, when market only has A, when single financial product in two kinds of destination financial products of B, and the income of A destination financial product is
A%, weight b%, B destination financial product income be c%, weight d%, then A, the weighting of two kinds of destination financial products of B
Income is a%*b%+c%*d%.
5. a kind of device of virtual sifting destination financial product, which is characterized in that include at least:
A21 high quality assets screens library, and for training high quality assets to screen library by amount to obtain variable factor, the quantitative change factor is extremely
It less include: the income and standard deviation of the index of first object financial product in a period of time, in a period of time between various countries' currency
The exchange rate, in a period of time target state the macroscopical factor of economy, economic macroscopical factor include at least PPI, CPI and unemployment rate,
The advertisement data of the newest publication of the Central Bank, target state, the advertisement data includes at least medium term lending convenience and mortgage supplement is borrowed
The event of the influence economic factor of money and national governments and political policy；
A22 computing module, for finding out single financial product respectively according to the Market Weight of the first object financial product
Equilibrium income and following calculating:
The financial product includes at least stock, commodity, futures, fund and/or bond, the equilibrium income are as follows:
Π=δ ∑ wm
Wherein, δ indicates unit risk excess earnings: δ=E (r)-rf/σ2, ∑ indicates the covariance matrix of single financial product, E
(r) marketing-mix income, r are indicatedfIndicate risk free return, σ2Indicate intraclass variance, wmIndicate market value weight；
Investor carries out earnings forecast according to the tendency of financial product:
Ω=diag (P (τ ∑) PT)
Wherein, Ω is diagonal matrix, and P is battle array, and τ is confidence level error ratio；
In conjunction with equilibrium income and earnings forecast, prospective earnings adjusted are as follows:
E (R)=[(τ ∑)-1+PTΩ-1P][(τ∑)-1Π+PTΩ-1Q]
Wherein, Q is matrix；
The prospective earnings adjusted that first object financial product is inputted in Markovitz model, when the first object finance
When product category is had in n, then marketing-mix income E (rp) and marketing-mix varianceIt can indicate are as follows:
Wherein, wiIndicate that i financial product accounts for portfolio ratio, riIncome after expression i financial product adjustment；
Combination least risk situation, above-mentioned two formula under the expected revenus can be found out if default expected revenus to be converted
Are as follows:
Risk free return is inputted, the tangent line of risk free return point and effective frontal is made, obtains financial product city field wire, the nothing
Risk income refers to the income there is no default risk；
Investment risk detest value A is inputted to obtain the value of utility U of portfolio under the risk level:
U=E (r) -0.5A σ2
Wherein, the investment risk detest value A is the detest degree value to the first object financial product of user's input,
And A ∈ [0,1], the value of A is 0 when risk free return；
A23 screening module, for obtaining the second destination financial product mix under target risk level:
The point of contact of the value of utility U and financial product city field wire in the case where particular risk is horizontal, the as under the risk level
Two destination financial product mixes, financial product city field wire, which refers to, to be shown between the expected rate of efficient combination and standard deviation
A kind of simple linear relationship a ray.
6. device according to claim 5, which is characterized in that further include test module, for carrying out pressure, passed through in market
Ji is also unsound, is easy to test the second destination financial product mix in the environment of rising and fall sharply and quickly to calculate maximum and withdraw and return
This duration.
7. device according to claim 5, which is characterized in that the screening module is also used to when the second target gold
When melting product mix including at least two kinds of single financial products, the relevance square of the second destination financial product mix is established
Battle array, then the correlation calculations of the single financial product of the i and the single financial product of jth kind are as follows:
Then correlation matrix is expressed as follows:
8. device according to claim 5, which is characterized in that the screening module is also used to be arranged the second destination financial
Single financial product weight in product is to be fitted the weighting income of Vehicles Collected from Market, and when market only has A, two kinds of destination financials of B are produced
When single financial product in product, and the income of A destination financial product is a%, the income of weight b%, B destination financial product
For c%, weight d%, then A, the weighting income of two kinds of destination financial products of B are a%*b%+c%*d%.
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| CN114119237A (en) * | 2021-11-30 | 2022-03-01 | 中国银行股份有限公司 | Method and device for screening pension products |
| CN114693307A (en) * | 2022-05-30 | 2022-07-01 | 深圳市泰铼科技有限公司 | Security futures programmed trading strategy risk pressure testing system |
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