摘要
在考虑外汇套期保值基础上，本文研究了国际组合债券投资的风险分散决策方法，并进而分析了不允许卖空情况下最优国际组合债券的结构特征。文中还给出了本文方法的应用实例。
Basedon on considering the decision of hedging the currency exposure,this paper stud-ies the decision methods for diversifying the international bond investment risk.Two linear pro-gramming models are developed for risk minimization and efficient portfolio investent respectively,and the related structural properties of optimal portfolios are furtherly studied.A pratical applicafion is therefore given to illustrate the proposed methods.
出处
《系统工程与电子技术》
EI
CSCD
1995年第2期21-28,共8页
Systems Engineering and Electronics
基金
国家自然科学基金
关键词
投资
组合债券
最优风险
套期保值
决策
International bond portfolio
Currency exposure
Hedging:Risk minimization
Ef-ficient portfolio.
