| 非正定方差阵下的证券组合投资模型研究 |
| |
| 引用本文： | 蒋福坤,刘正春.非正定方差阵下的证券组合投资模型研究[J].数学的实践与认识,2008,38(3):11-15. |
| |
| 作者姓名： | 蒋福坤 刘正春 |
| |
| 作者单位： | 嘉兴学院,数学与信息科学学院,浙江,嘉兴,314001 |
| |
| 摘 要： | 研究了非正定方差阵下,证券组合投资模型的最优投资比例系数的计算,有效边界,冗余证券的数量以及套利机会.从而为实证分析提供了理论依据和方法.
|
| 关 键 词： | 证券组合 方差阵 最优投资比例系数 有效边界 |
| 修稿时间： | 2006年10月30 |
The Study of Model for Portfolio Investment Under Non-Positive Definite Matrix |
| |
| JIANG Fu-kun,LIU Zheng-chun.The Study of Model for Portfolio Investment Under Non-Positive Definite Matrix[J].Mathematics in Practice and Theory,2008,38(3):11-15. |
| |
| Authors: | JIANG Fu-kun LIU Zheng-chun |
| |
| Abstract: | When the definite matrix is non-positive,this paper studies the model of portfolio investment and it gives calculating method for optimal investment coefficient of proportionality,efficient boundary,unnecessary portfolio as well as arbitrage chance.The research provides the theoretical fundamentals and method for practical analysis. |
| |
| Keywords: | portfolio investment definite matrix optimal investment coefficient of proportionality efficient boundary |
| 本文献已被 万方数据 等数据库收录！ |
|
