摘要
当收益率的协方差矩阵为奇异矩阵时,"均值-方差"模型的最优投资组合问题不宜直接求解。本文结合主成分分析理论、正交变换和凸规划的求解方法,提出求解非负变量条件下协方差矩阵为半正定"均值-方差"模型的有效方法。
To the optimal portfolio of singular covariance matrix with nonnegative variable, the paper gives the efficient method solving the mean - variance model with principal components, orthogonal linear transformation and convex program.
出处
《培训与研究（湖北教育学院学报）》
2004年第5期4-6,共3页
Training and Research-Journal of Hubei College of Education
关键词
协方差矩阵
奇异矩阵
正交变换
投资组合
“均值-方差”模型
凸规划
证券理论
Mean - variance model
Portfolio
Singular covariance matrix
Principal component
Orthogonal linear transformation
Convex program
Nonnegative variable.
