投资组合选择的简化算法及其应用被引量：2

Simplified Algorithms for Portfolio Selection and Its Application

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摘要用Markowitz模型进行投资组合选择需要非常多的数据并要进行大量的计算,即使在计算机技术非常发达的今天也是非常繁琐的。学者们在CAPM市场指数模型的基础上提出了投资组合选择的简化算法。文章对此进行了介绍,并将该算法应用于证券投资基金投资组合的选择优化。这对证券投资基金管理机构进行市场操作具有现实借鉴意义。 Although computer technology is very advanced today, the application of Markowitz＇ s portfolio theory to optimize portfolio selection is still very tedious. Therefore, this papers introduces the simplified algorithm for portfolio selection developed by scholars on the basis of market index model of CAPM, which can work as a simplified algorithm for mutual funds portfolio selection and produce a positively sizable effect on market operation.

作者刘俊礼

机构地区北京航空航天大学经济管理学院

出处《北京航空航天大学学报（社会科学版）》 2006年第1期16-19,共4页 Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

关键词投资组合选择算法应用 portfolio selection algorithm application

分类号 F830.59 [经济管理—金融学] C931.1 [经济管理—管理学]

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参考文献5

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