不允许卖空的证券组合投资风险偏好最优化模型

An Optimal Model with the Coefficient of Risk Preference for Securities Portfolio with Limited Short Selling

本文建立并研究了不允许卖空情形下证券组合投资的风险偏好最优化模型,证明了由与其相应的允许卖空时模型的最优解来求解的理论依据,并给出了算法,即找出证券组合的最优决策的方法。

In this paper, we get the optimal securities portfolio model about considering risk preference while short selling being not allowed. Then we analysis the model,prove the theorem about getting it's optimal solution by using it's corresponding model's optimal solution without limited short selling; and give the method's steps.