摘要
本文研究了证券组合投资风险函数及有效边界的凹性 ,提出了将求最小风险的二次规划问题转化为线性规划问题 ,并根据其最优基及其灵敏度分析 。
The paper discusses the concavity of the risk function of the stocks combinatiom and the efficient boundary,and puts foward a method of establishing the efficient boundary in section,which is based on the mathod of converting the quadratic plan into the linear plan according to the optimal base and sensitivity analysis.
关键词
证券组合投资
有效边界
灵敏度分析
线性规划
efficient investment
efficient boundary
optimal base
sensitivity analysis
