投资组合均值-方差准则的新解法

A New Approach to the Model of Mean-variance Criteria

对资产组合理论的均值 -方差准则的Lagrange求解方法进行分析 ,指出由于Lagrange法只给出极值点存在的必要条件 ,采用该求解方法证明收益一定时方差最小投资组合的存在性存在缺陷 .以矩阵为分析工具 ,将限制条件用线性方程组解的广义逆矩阵形式表示 ,通过线性方程组解的理论 。

Analyzing the Lagrange's approach to the mean-variance criteria, the paper turns out that the drawback of Lagrange's approach mainly lies in it's necessary rather than full condition for the existence of extreme- value point. By means of theory of matrix and linear equations, a new method of solving mean-variance criteria is given.