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一类证券组合投资选择模型 被引量:2

The Optional Portfolio Selection Models
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摘要 在分析文 The analogical optional portfotio selection models are presented after analysing essay[1].
作者 严喜祖
出处 《运筹与管理》 CSCD 2001年第1期121-124,共4页 Operations Research and Management Science
关键词 证券组合 证券风险 证券投资 portfolio security risk
  • 相关文献

参考文献4

  • 1丁元耀,贾让成.一种证券组合的投资选择模型[J].运筹与管理,1999,8(2):38-42. 被引量:13
  • 2MARKOWITZ H M. Portfolio Selection[J]. Journal of Finance, 1952, 7:77-91.
  • 3SHARPE W F. A Simplified Model of Portfolio Analysis[J]. Management Science, 1963, 9:277-293.
  • 4SHARPE W F. Capital Asset prices: A Theory of Market Equilibrium under Conditions of Risk[J]. Journal of Finace,1964, 19:425-442.

二级参考文献7

共引文献12

同被引文献19

  • 1唐小我,傅庚,曹长修.非负约束条件下组合证券投资决策方法研究[J].系统工程,1994,12(6):23-29. 被引量:38
  • 2Diamond D W,R E Verrecchia. Constraints on short-selling and asset price adjustment to private information[J]. Journal of Financial Economics, 1987, (18):277-311.
  • 3French K R, G W Schwert,R F Stambaugh. Expected stock returns and volatility [J]. Journal of Financial Economics, 1987, (19) : 3-29.
  • 4Kim W H. Short-sales restrictions and volatility: the case of the Stock Exchange of Singapore [J]. Pacific-basin Finance Journal,1996, (4):25-45.
  • 5梁建峰 唐万生.有交易费用的组合投资的概率准则模型[J].系统工程,1999,17(1):76-78.
  • 6Hull J C.Options,Futures and other Derivative Securities[M].Prentice-Hall,Englewood Cliffs,1993.
  • 7Markowitz Harry H.Mean-Variance Analysis in Portfolio Choice and Capital Markets[M].Basil Blackwell,Oxford,1987.
  • 8Edwin J Elton,Martin J Gruber.Modern Portfolio Theory,1950 to Date[J].Joumal of Banking & Finance,(21)1997:1743-1759.
  • 9Hiroshi Konno,Hiroshi Yamazaki.Mean-absolute devision portfolio optimization model and its application to Tokyo stock market[J].Management Science,1991,37(5):519-531.
  • 10Mulvey J M.Introduction to Financial Optimization:Mathematical Programming Special Issue[A].Mathematical Programming Series B[C].(89)2001:205-216.

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