摘要
研究在不允许卖空市场中,当收益协方差矩阵奇异时投资驵合的一些性质,并使用二次规划方法求解投资组合选择问题,获得了最优组合的一种解法.
Some properties of portfolios were studied with singular covariance matrix in a market without short-selling. Furthmore,a quadraticprogramming-based approach was suggested to search for the optimal portfolio.
出处
《内蒙古科技大学学报》
CAS
2007年第2期190-192,共3页
Journal of Inner Mongolia University of Science and Technology
关键词
卖空
证券投资组合
协方差矩阵
二次规划
short-selling
portfolio
eovarince matrix
quadratic programming
