摘要
研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.
We discuss the problem of portfolio investment with risk minimization subject to nonnegative investment proportional coefficient. The purpose of this paper is to study on nonnegative investment proportional coefficient of portfolio for risk minimization with penalty function. Practical portfolios present that this method is feasible and effective.
出处
《纯粹数学与应用数学》
CSCD
北大核心
2007年第4期524-528,共5页
Pure and Applied Mathematics
关键词
组合证券投资
风险最小化
罚函数
最优投资比例系数
portfolio investment, risk minimization, penalty function, optimal investment proportional coefficient
