摘要
从概率角度出发,提出一种新型证券投资组合模型.该模型把实现预期收益的概率作为目标函数,使之达到最大.文中将概率准则模型与传统模型作对比分析,解释了该模型的现实意义.在允许卖空的市场条件下,使用优化方法给出了模型的最优解及目标函数的解析表达式,并给出数值算例.
This paper develops a portfolio model to maximize the probability that the rate of return is no less than an expected rate of return. This paper also presents a comparative analysis between traditional models and this model, and explains its realistic meaning. Under the condition that short selling is permitted, this paper presents a method for determining the explicit representation of the optimal portfolio and the criterion function, and gives an illustrative example.
出处
《系统工程学报》
CSCD
2003年第4期289-293,共5页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70171004)
天津市自然科学基金资助项目(013602611).
