摘要
利用套利定价理论(APT)改进不允许卖空的Markowitz的证券组合投资决策模型,导出了不允许卖空的多因素证券组合投资决策模型。
In this paper, we simplify Markowitz′s model for portfolio investment under the condition of no short sale with the help of arbitrage pricing theory (APT), present a multifactor model for portfolio investment decision under the condition of no short sale, and study its solution and its characteristics.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2000年第2期37-43,共7页
Systems Engineering-Theory & Practice
基金
国家杰出青年科学基金!( 7972 5 0 0 2 )
