摘要
分散化原则的应用已经屡见不鲜,特别是在资产配置上,人们利用它尽量降低风险.为了精确的得到分散化投资组合,以实现最低风险,先从几何方法上推导了三种证券组合的有效集,然后再利用矩阵推导出n种证券组合的最小方差集,并给出了最小方差集的数学表达方式.
It is well-known that people use diversified principle, especially on minimizing the risk of the combination of investment. In order to get the precise combination of investment and lowest level of risk, this paper discusses and finds out the efficient boundary of asset combination, and also gives us the function of efficient boundary, from three securities to n securities.
出处
《内江师范学院学报》
2006年第2期27-30,共4页
Journal of Neijiang Normal University
关键词
有效资产组合
有效集
等收益线
等方差椭圆
临界线
efficient portfolio
the efficient boundary
Iso-mean line
Iso-invariance ellipses
critical line
