一种求最优风险证券组合的方法

A method solving the best risk portfolio of securities

本文给出了卖空限制下,包括无风险资产时求最优风险证券组合的方法。引人一种考虑风险补偿的效用分析法,对均值-方差分析中遗留下的有风险和无风险证券资产之间的分配问题进行了探讨。

This article shows a method solving the best risk portfolio of securities including non-risk part under sell short restrictions. Furthermore,introduction of a method of Utility Analysis considering risk compensation enables geometric method to solve the distributing problem between risk and non-risk portfolio assets.