在利润率R_0下的最佳组合证券投资比例系数的计算方法

vestment of the Best Combination under the Interest Rate“R_0”

在预期利润率为R_0。的条件下,最佳组合证券投资比例系数是利用二次规划模型求出的,据此求出的投资比例系数有可能为负数。例如ω_(?)<0,则表示投资者应卖出而不是买进第i种证券。最佳组合证券投资比例系数应是二次规划模型的解。利用的解求的解是一种比已有的方法要简单得多,而且更易掌握的方法。

Under the expected interest rate R0, the proportion ceefficientof the best combined securities investment is resolved by using the quadraticprogramming modelIt maybe negative, for example, if ω1<0, itshows the ith stocks should besold but not bought. The proportion ceefficientof the best combined securities investmentwill be the resolution of the quadratic programming modelThis paper presentsa method of getting the resolution of the model.by using the resolution of themodel which is not only much more simpler than what we have had, but also