摘要
利用二次规划的方法来确定证券允许卖空时的有效边界 ,无需借助存在无风险资产的假定 ,不但能从数学模型方面求得风险最小组合比例的解 。
The effective boundary of stock investment needn't depend on the assets assumption without risk. If the quadratic programming is adopted to determin the effective boundary and on the other hand, the least risk combination proportion can not only be solved from maths model but also the effective boundary can be reflected directly from the figure.
出处
《南昌水专学报》
2000年第3期58-60,共3页
Journal of Nanchang College of Water Conservancy and Hydroelectric Power
关键词
二次规划
允许卖空
证券投资
有效办界
组合资产
quadratic programming
permit short sale
combination investment
effective set
effective boundary
