摘要
在用于度量投资风险的方差阵为非负定时 ,本文建立并研究了允许卖空与不允许卖空情形下证券组合投资决策模型 ,同时给出了计算最优投资比例系数的方法。
In this paper, when the covariance matrix used to measure the risk of investment is nonnegative, we set up and study the decision making model for portfolio investment while short selling being allowed or not. Meanwhile, the method for calculating optimal investment proportional coefficient is given.
出处
《预测》
CSSCI
2001年第6期54-55,77,共3页
Forecasting
基金
国家自然科学基金重大资助项目 (79990 5 80 )
江西省自然科学基金资助项目 (0 0 110 2 0 )
关键词
证券组合投资
最优投资比例系数
非负定方差阵
covariance matrix
portfolio investment
optimal investment proportional coefficient
