限制资产数目的多因素资产组合模型及实证研究

Empirical study on the multifactor investment decision with limited number of assets

在允许持有无风险资产的条件下,在多因素资产组合模型的基础上给出限制资产数目的改进模型,研究了解的存在性,并给出了算法及算例验证其有效性。本文主要论述了限制资产数目的多因素资产组合模型及实证研究,以期为相关研究提供借鉴。

On the basis of multifactor investment decision models,this paper presents limited number of assets investment decision models that are allowed to hold risk-free.Moreover,we study the condition under which solution of the models exists and a numerical example of a portfolio selection problem was given to illustrate our proposed effective means.