mpf2_线性规划_CAPM_sharpe_Arbitrage Pricin_Inversion Gauss Jordan_Statsmodel_Pulp_pLU_Cholesky_QR_Jacobi

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已于 2022-07-15 20:03:15 修改

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分类专栏： pythonForFinance2 文章标签： python 大数据

于 2022-07-06 20:48:28 首次发布

本文链接：https://blog.csdn.net/Linli522362242/article/details/125546725

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线性模型在金融领域广泛应用，如CAPM模型和套利定价理论（APT）。CAPM通过线性关系描述风险与收益，SML帮助判断资产是否被低估。APT则考虑多种因素影响证券收益。Python的Pulp库用于线性优化，解决投资组合优化等约束问题。此外，介绍了矩阵分解方法，如LU、Cholesky和QR分解，以及迭代方法如雅可比和高斯-赛德尔法来求解线性方程组。

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Nonlinear dynamics play a vital role in our world. Linear models are often employed in economics due to being easier to study and their easier modeling capabilities. In finance, linear models are widely used to help price securities and perform optimal portfolio allocation, among other useful things. One significant aspect of linearity in financial modeling is its assurance that a problem terminates at a globally-optimal solution.

In order to perform prediction and forecasting, regression analysis is widely used in the field of statistics to estimate relationships among variables