摘要
证券组合投资有效集及有效边界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 。
The efficient boundary of the portfolio selection is the key to determin the optimal investment structure.The paper discusses the concavity of the risk function and the efficient boundary of the portfolio selection, and puts forward a method of establishing the efficient boundary in section with no short selling,which is based on the method of converting the quadratic plan into the linear plan according to the optimal base and the sensitivity analysis.Every part of the efficient boundrary can be got directly by the relevant mathematic form.
出处
《管理工程学报》
CSSCI
1997年第2期82-88,共7页
Journal of Industrial Engineering and Engineering Management
基金
湖南省自然科学基金资助课题
关键词
有效集
有效边界
最优基
证券投资
组合投资
Efficient set, Efficient boundary, Optimal base, Sensitivity analysis
