摘要
将数学优化思想引入证券组合风险分析 ,以离差测度证券组合风险 ;提出了求解给定期望收益率下最小风险投资组合的一般解法 ;建立了非线性规划模型 ,并针对 6种典型股票 ,对在多水平期望收益率下的组合方案给予分析。
The thought of mathmatic optimization is led in the analysis of stock combination risk,and it is measured by vnriance;A general solution of finding the minimum risk investment combination under the expect rate of return is put forward.The nonlinear programing model is built,and the combination plan of six typical share certificates under different expect rate return are analysed.
出处
《河北科技大学学报》
CAS
2000年第1期49-52,59,共5页
Journal of Hebei University of Science and Technology
关键词
证券投资组合
数学分析
投资风险
nolinear programming
variance
stock combination
rate of return
risk
