摘要
本文研究了不允许卖空条件下存在无风险资产有限借入的不相关证券有效组合问题 ,给出了有效集及投资比例的解析表示 .
We studied efficient portfolio problem of uncorrelated se curities when short sales are not allowed on risky ones and there exists riskless asset can be finite borrowed. Meanwhile, the efficient set and formulas of investment proportions were present.
出处
《应用数学》
CSCD
北大核心
2001年第4期112-115,共4页
Mathematica Applicata
基金
宁夏自然科学基金项目 (F0 0 3)
