| 最小风险证券组合的结构分析和迭代算法 |
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| 引用本文： | 唐小我 王竹. 最小风险证券组合的结构分析和迭代算法[J]. 数理统计与管理, 1996, 15(2): 44-50 |
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| 作者姓名： | 唐小我 王竹 |
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| 作者单位： | 电子科技大学管理学院 |
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| 摘 要： | 本文分析了最小风险组合证券投资的结构特征，并提出了一种组合证券风险最小化的迭代算法，证明了其收敛性．该算法操作简单，且易于处理不允许卖空情况下的证券组合问题．
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| 关 键 词： | 证券组合；风险最上化；组合结构特征；迭代算法 |
Structural Properties of Optimal Portfolios and Iterative Algorithm for Risk Minimization |
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| Tang Xiaowo,Wang Zhu and Zeng Yong. Structural Properties of Optimal Portfolios and Iterative Algorithm for Risk Minimization[J]. Application of Statistics and Management, 1996, 15(2): 44-50 |
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| Authors: | Tang Xiaowo Wang Zhu Zeng Yong |
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| Abstract: | In this paper, the structural properties of optimal portfolios are analyzed, and an iterative algorithm for risk minimization is proposed,The convergency of the algorithm is proved,and an illustrative application is given,The algorithm is simple for operating and needs few adjustments to deal with non -negative constraint of investment propositions. |
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| Keywords: | Portfolio Risk minimization Structural property of portfolio Iterative algorithm |
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