均值—方差准则的矩阵分析

The Matrix Analysis of Mean-Variance Criteria

本文以矩阵理论为工具 ,对作为现代资产组合理论基础的均值—方差准则解的结构进行分析 ,将任一有效投资组合表示为两个特定投资组合的线性组合 ,对两个特定投资组合的直观经济意义进行解释 ,讨论了它们在理性投资市场中的作用。

By the means of matrix approach, the paper analyses the solution for the mean-variance criteria. Describing the solution as linear combination of two specific portfolios, the paper gives some economic intuition for these two specific portfolios.