组合证券投资的有效边界

Efficient boundary of Portfolio Combination

本文讨论了由Ｍａｒｋｏｗｉｔｚ提出的证券组合模型的边界函数性质．并给出了在变量非负条件下边界函数的确定方法。得出了在非负条件下有效边界函数是预期回收值的逐段二次凸函数以及Ｍａｒｋｏｗｅｉｔｚ模型的最优解是预期回收值的逐段线性向量函数的结论。

In this paper, we deal with the properties of the boundary function of markoweitz's model. we give out a method to determine the boundary function. We obtain the conclusions that efficient boundary function of markoweitz's twice and Convex and optimal solution of markoweitz's model is vector linear function in every S.ection under nonegativety restriction.