摘要
提出了一种组合证券风险最小化的迭代算法，证明了其收敛性，该算法操作简便，适免了最优投资比例计算中的矩阵求逆问题，并且在不允许卖空情况下，不会增加计算的复杂性。文中同时还给出了不允许卖空情况下组合证券风险最小化的线性规划模型。
An iterative algorithem is proposed for the risk minimization of portfolios , and it is proved to converge to the optimal portfolio. The algorithem is easily operated and no calcula-tion of matrix inverse is needed in the algorithem. Futhermore, calculation difficulty will not in-crease by using this algorthem when short selling is not allowed. A linear programming model for the risk minimization of portfolios in which short selling is not allowed is also put forward.
出处
《电子科技大学学报》
EI
CAS
CSCD
北大核心
1994年第4期416-421,共6页
Journal of University of Electronic Science and Technology of China
基金
国家自然科学基金
关键词
组合证券
迭代算法
投资风险
portfolio
risk
convergence
iterative algorithem
