偏好的风险报酬度量法及其在投资组合选择中的应用

Measuring Method of Risk Return and Its Applications to Portfolio Selection

本文通过引入风险报酬的概念 ,建立了基于风险报酬的资产组合选择模型 ,求出了风险报酬最大的资产组合 ,在此基础上深入地分析、研究了Markowitz型有效集中的资产组合选择问题。本文方法可方便地应用于投资对策与管理的实践中去。

By introducing a concept of risk return, we propose a portfolio selection model, by which we obtain a portfolio with maximal risk return, and analyze and consider portfolio selection in Markowitz' effective set. This method presented here can be conveniently applied to the investment decision and management.