改进β约束的组合投资决策优化模型

The Portfolio Selection Model with Rebuiltβ- Constraint on Risk

本文在研究了组合证券的系统风险与投资收益的内在联系的基础上 ,针对马柯维茨模型与CAPM对风险假定的局限性 ,提出了一种改进风险约束的收益率最大化的组合投资决策模型 。

In this paper,we analyze the interrelations between the return rate of the securities port- folio and its system risk,in view of the lim itation of the Markowitz Model and CAPM,we found a portfolio investment decision model with rebuilt constraint on risk,which is more feasible in prac- tice.