摘要
本文在M arkow itz均值-方差模型的基础上,引入风险补偿函数,研究了在投资组合中协方差、半协方差、负指数等目标函数之间的关系。
At the base of Markowitz M-V model, This paper introduces the function of risk premium and treats mutual relationship of the objective function of portfolio model based on the covariance, semicovariance and negative exponent.
出处
《经济数学》
2005年第4期433-436,共4页
Journal of Quantitative Economics
关键词
投资组合
风险补偿
Investment portfolio, risk premium
