摘要
对Ｍａｒｋｏｗｉｔｚ模型当中的投资组合协方差矩阵的正定性进行了分析，说明该矩阵在一般条件下不具有正定性，并针对该模型提出了一种新的迭代求解方法，提出的求解方法不要求投资组合协方差矩阵满足正定性，因此比以往的一些方法更具实用性．
in this paper, the fast that matrix E in Markowitz model is positive definite or not is discussed and conclusion is that it is never positive definite one. A new itenative method in which it is not necessary for martrix E to be positive definite is presented.
出处
《沈阳工业大学学报》
CAS
2000年第1期73-75,共3页
Journal of Shenyang University of Technology
