摘要
本文建立了二次效用极大的证券组合优化模型,研究了各种优化模型的算法,得到了最优证券组合的期望收益率、风险、期望效用及投资比例计算公式。
This paper sets up the optimal portfolio model with the maximum quadratic utility. It studies the optimization model's solution method and obtains the calculation formulae for the expected rate of return, the rise,the expected utility and the investment proportion.
出处
《固原师专学报》
1997年第6期6-10,共5页
Journal of Guyuan Teachers College
关键词
证券组合
二次效用
凸规划
优化模型
算法
Portfolio Expected rate of return Risk Quadratic utility Convex programming
