| 协差阵奇异时的最优投资组合 |
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| 引用本文： | 蒋卉,刘瑞元.协差阵奇异时的最优投资组合[J].数学的实践与认识,2008,38(18). |
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| 作者姓名： | 蒋卉 刘瑞元 |
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| 作者单位： | 青海师范大学,数学系,青海,西宁,810008 |
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| 摘 要： | 给出了协差阵半正定且有n-r个零特征值的一般情况下,Markowitz均值——方差最优投资组合模型的解及由单纯形表求得n-r个无风险基金权重的最优解.
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| 关 键 词： | Markowitz均值——方差模型 单纯形表 最优解 |
Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix |
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| JIANG Hui,LIU Rui-yuan.Optimal Mean-Variance Portfolio with Semi-Positive Variance-Covariance Matrix[J].Mathematics in Practice and Theory,2008,38(18). |
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| Authors: | JIANG Hui LIU Rui-yuan |
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| Abstract: | It is given that solution of Markowitz′s optimal portfolio model in the case with semi-positive variance-covariance matrix with n-r zero characteristic root and found the solution vk which make total profit S to get maximum by simplicial chart. |
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| Keywords: | Markowitz′s model simplicial chart optimal solution |
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