Affiliation:
1. 1 Department of Accounting , Shijiazhuang Information Engineering Vocational College , Shijiazhuang, Hebei, 050000 , China .
Abstract
Abstract
This paper analyzes the main methods of stochastic optimization algorithms to construct a stochastic optimization model. The focus is on the calculation method for risk minimization, combined with the SGD algorithm to guarantee the speed of sublinear convergence. The mean variance of the risk evaluation model is determined by constructing the objective function and constraints, and the investor’s risk is minimized based on calculating the minimum variance of the model. The asset portfolio risk evaluation model can accurately describe the risk of different industries, as demonstrated by the results. According to the correlation coefficient reality, the correlation between industry indices is relatively strong, where the correlation coefficient between raw materials and the optional consumption industry is 0.865, and the correlation coefficient between the optional consumption industry and the financial industry is 0.697.
Subject
Applied Mathematics,Engineering (miscellaneous),Modeling and Simulation,General Computer Science
Reference17 articles.
1. Deke, & Wright. (2018). A view from the top: a revolutionary asset management control center. Materials performance, 57(6 Special supplement), 6-6.
2. A, S. C., B, B. L., C, A. U., & D, L. Y. (2019). Cryptocurrencies as a financial asset: a systematic analysis - sciencedirect. International Review of Financial Analysis, 62, 182-199.
3. Wu, Q., Gao, Y., & Sun, Y. (2020). Research on probability mean-lower semivariance-entropy portfolio model with background risk. Mathematical Problems in Engineering, 2020(1), 1-13.
4. Ameur, H. B., & Prigent, J. L. (2018). Risk management of time varying floors for dynamic portfolio insurance. European Journal of Operational Research, 269(1).
5. Li, Y., Zhang, Y., Dai, H., & Zhao, Z. (2020). Game modelling and strategy research on trilateral evolution for coal-mine operational safety production system: a simulation approach. Complexity, 2020.