基于协差阵向量半范数的典型相关分析及其在量化投资中的应用  

The Canonical Correlation Analysis Based on the Vector Seminorm from Covariance Matrix and its Application in Quantitative Investment

作　　者：杨玉锋 林伟城 YANG Yu-feng;LIN Wei-cheng(School of Mathematics and Statistics,Shaoguan University,Shaoguan 512005,Guangdong,China)

机构地区：[1]韶关学院数学与统计学院,广东韶关512005

出　　处：《韶关学院学报》2018年第9期4-6,共3页Journal of Shaoguan University

基　　金：广东省大学生创新创业训练计划项目(201810576092);韶关学院科研项目(S201501015)

摘　　要：利用协差阵导出的向量半范数推导随机向量的典型相关分析,并把结果用于金融量化投资的回归模型.By the vector seminorm based on covariance matrix,the canonical correlation analysis of random vectors is discussed. The results are applied to the regression model of financial quantitative investment.

关 键 词：向量半范数 典型相关分析 最优化 量化投资 

分 类 号：O151.21[理学—数学]