| 最小风险组合证券非负投资比例系数的确定 |
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| 引用本文： | 邓雪. 最小风险组合证券非负投资比例系数的确定[J]. 纯粹数学与应用数学, 2007, 23(4): 524-528 |
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| 作者姓名： | 邓雪 |
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| 作者单位： | 华南理工大学数学科学学院,广东,广州,510640;华南理工大学工商管理学院,广东,广州,510640 |
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| 摘 要： | 研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.
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| 关 键 词： | 组合证券投资 风险最小化 罚函数 最优投资比例系数 |
| 文章编号： | 1008-5513（2007）04-0524-05 |
| 收稿时间： | 2005-11-18 |
| 修稿时间： | 2005-11-18 |
Decision on nonnegative investment proportional coefficient of portfolio for risk minimization |
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| DENG Xue. Decision on nonnegative investment proportional coefficient of portfolio for risk minimization[J]. Pure and Applied Mathematics, 2007, 23(4): 524-528 |
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| Authors: | DENG Xue |
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| Abstract: | We discuss the problem of portfolio investment with risk minimization subject to nonnegative investment proportional coefficient. The purpose of this paper is to study on nonnegative investment proportional coefficient of portfolio for risk minimization with penalty function. Practical portfolios present that this method is feasible and effective. |
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| Keywords: | portfolio investment risk minimization penalty function optimal investment proportional coefficient |
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