摘要
证券组合投资有效集是确定合理投资结构的关键。本文研究了证券组合投资风险函数及有效集（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，分段确定有效边界（有效集）的方法。这种方法使各段有效边界可直接由相应的数学表达式求得，计算量大大减少，并提供了投资组合的精确解。
The efficient set of the stocks combination investment is the key to determin the rational investment structure. The paper discusses the concavity of the risk function of the stocks combination and the efficient set (efficient boundary), and puts foward a method of establishing the efficient boundary in section, which is based on the method of converting the quadratic plan into the linear plan according to the optimal base and sensitivity analysis. Every part of the efficent boundary can be got directly by the relevant mathematic form with little computation and accurate solution of the investment strategy.
出处
《广西工学院学报》
CAS
1996年第1期71-77,共7页
Journal of Guangxi University of Technology
关键词
证券组合
有效投资组合
有效集
最优基
证券交易
Efficient investment combination
Efficient set (Efficient boundary)
Optimal base
Sensitivity analysis
