摘要
文章在均值—方差模型的基础上,通过构造组合证券投资的效用函数,采用边际分析法将多目标非线性规划问题化为线性方程组求解,并对资产进行配置,得出了单个证券对证券组合的风险贡献与其超额期望收益占证券组合的总超额期望收益的比例相一致的结论,为风险预算提供了可靠的理论依据。
In this paper, based on mean-variance model, taking margin analysis method, changing multi-objective nonlinear programming into linear equation system, combined with the construction of utility function of portfolio investment, we have the assets allocated. In conclusion, the risk contribution of single stock to portfolio is proportional to expectation of single stock contribution to expectation of gross return. This conclusion provides a dependable theoretical warrant for the risk budget.
出处
《统计与信息论坛》
2005年第6期42-45,共4页
Journal of Statistics and Information
基金
安徽省教育厅自然科学研究项目(项目编号:2003kj0032005kj308ZC)
安徽省教育厅人文社会科学研究项目(项目标号:2005sk105)资助
