摘要
本文在分别研究无非负投资比例系数约束及有非负投资比例系数约束下最小风险组合证券的充要条件的基础上,提出了两种以收益率协方差矩阵的加权行和为指标的迭代算法。证明了算法分别收敛于两种约束下组合证券投资的最小风险。并给出一个七阶的组合证券投资风险最小化的计算实例。
In this paper, two iterative methods with the index of weighted sum of line elements of the earning rate's covariance matrix are put forward,which based upon the seperate studies of the necessary ;md sufficient conditions of portfolio investment risk minimization
that allows or prohibits short selling. Two methods are proved to
seperately converge to the minimum risks of portfolio investment
with two diffevent kinds of constraints. A model of a seven orclers
portfolio investment risk minimization is discussed.
出处
《系统工程》
CSCD
1994年第5期53-58,共6页
Systems Engineering
基金
国家自然科学基金
项目号:79270083
关键词
组合证券
风险最小化
投资
Portfolio, Weighted sum of line elements, Risk minimization
