摘要
This paper considers the portfolio selection theory with strictly positive supply of riskless asset. The portfolio selection problem is described as a quadratic program, then this problem is solved by the Kuhn-Tucker condition and the method of artificial variable.
This paper considers the portfolio selection theory with strictly positive supply of riskless asset. The portfolio selection problem is described as a quadratic program, then this problem is solved by the Kuhn-Tucker condition and the method of artificial variable.
基金
a project of Financial Mathematics, Financial Engineering and FinancialManagement, which is one of "Ninth Five-Year Plan" Majo
