摘要
本文建立了一定置信水平下最小收益最大准则下的组合投资决策模型 ,该模型不仅适用于风险规避者 ,也适用于风险偏好者。在风险资产的收益率联合服从正态分布的假设下 ,给出不容许卖空情形下的求解有效资产组合的算法 ,并给出一个算例。
The portfolio selection model to maximize the minimal return rate under a certain confident level is studied. Given that the return rate of risk assets is jointly distributed with normal distribution and short selling is not allowed, a procedure is given to find the efficient portfolio. Finally, an example is calculated.
出处
《运筹与管理》
CSCD
2002年第1期92-97,共6页
Operations Research and Management Science
