摘要
首先建立了风险资产投资组合的数学模型;然后应用随机模拟的方法分析讨论了资产投资组合的有效边界,同时通过把模型转化为线性规划求解,给出了计算有效边界的解析式;最后通过引入无差异曲线,给出了风险资产最优投资组合解.
Firstly, this paper sets up an objectprogramming model of the risk asset investment makeup. Then, discusses the effective interface by the method of Monte Carlo, and changes the model to linear programming model and gets the analytic formula of the effective interface. Finally, by introducing the indifference curve, the paper gives the most optimistic solution of the model.
出处
《装备指挥技术学院学报》
2003年第5期93-96,共4页
Journal of the Academy of Equipment Command & Technology
