| 单位风险预期超额收益最大化的组合证券资产选择 |
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| 引用本文： | 曾勇,唐小我.单位风险预期超额收益最大化的组合证券资产选择[J].系统工程学报,1996,11(2):66-74. |
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| 作者姓名： | 曾勇 唐小我 |
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| 作者单位： | 成都电子科技大学管理学院 |
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| 基金项目： | 国家教委优秀年轻教师基金 |
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| 摘 要： | 本文研究了单位风险预期超额收益最大化的组合证券资产选择问题，给出了最优证券组合的计算方法及以无风险收益率为参数、连续确定不允许卖空有效证券组合构成变动和有效边界的单纯形方法，以释例说明了有关方法的应用．文中还进一步讨论了单指数市场模型下的简化算法．
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| 关 键 词： | 组合证券资产选择，单位风险预期超额收益，卖空，有效边界，市场模型，算法 |
PORTFOLIO SELECTION BY MAXIMIZATION OF EXPECTED EXCESS RETURN-TO-STANDARD DEVIATION RATIO |
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| Zeng Yong,Tang Xiaowo.PORTFOLIO SELECTION BY MAXIMIZATION OF EXPECTED EXCESS RETURN-TO-STANDARD DEVIATION RATIO[J].Journal of Systems Engineering,1996,11(2):66-74. |
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| Authors: | Zeng Yong Tang Xiaowo |
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| Abstract: | Portfolio selection by maximization of expected excess return-to-standard deviation ratio is studied in this paper.The methods for determining the optimal portfolio and a parametric simplex method for continuesly determining the variation of efficient portfolio constitution where short selling is prohibited are developed with application being illustrated. Furthermore,the simplified algorithms are studied based on the market model. |
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| Keywords: | portfolio selection expected excess return-to-standard deviation ratio short selling efficient frontier market model algorithm |
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