摘要
本文从分析最小方差组合证券入手研究了均值方差有效组合证券的精确边界，推出了Ｎ种风险证券的有效均值方差组合（Ｗｇ、Ｗｔ、Ｗｄ、及Ｗ＊）的数学表达式以及存在无风险证券时的投资选择数学模型．对证券投资有一定的指导意义．
This paper analyzes the frontiers of efficient mean-variance portfolio beginningwith minimum-variance portfolio. Mathematical equations of the efficient portfolio of Wg, Wd, Wtand W*, as well as portfolio selection with a riskless assed have been put out.
出处
《系统工程理论方法应用》
1996年第2期52-60,共9页
Systems Engineering Theory·Methodology·Applications
关键词
组合证券
最小方差组合
数学模型
Portfolio, Mean-variance Analysis, Portfolio Selection
