摘要
本文研究了具有投资下界限制的风险证券有效组合决策问题 ,提出了限制投资下界的风险证券有效组合优化模型 ,在一定的条件下 ,给出了风险证券有效组合投资比例的算法及解析表示 ,最后进行了实际数值计算 。
This paper studied problem of efficient portfolio of risky securities with lower bound.We present model of efficient portfolio with lower bound constrains and gave Analytic Expression of efficient portfolio of risky securities when an additional technical assumption is satisfied.Finally,a numerical example of a portfolio selection problem was given to illustrate our proposed effective means.
出处
《应用数学》
CSCD
北大核心
2003年第2期124-129,共6页
Mathematica Applicata
基金
宁夏自然科学基金项目 (F0 0 3)
