| 不相关资产组合投资优化模型及实证分析 |
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| 引用本文： | 张卫国.不相关资产组合投资优化模型及实证分析[J].系统工程理论与实践,1998,18(4):34-40. |
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| 作者姓名： | 张卫国 |
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| 作者单位： | 宁夏教育学院数学系 |
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| 摘 要： | 研究了不相关资产组合投资的优化问题。根据无风险资产的存在情况，分别建立了各种投资约束条件下不相关资产组合投资优化模型，给出了有效组合集及相应的投资比例计算公式，讨论了有效组合投资期望收益率的变化对资产投资比例的影响。最后选取上海证券交易所不同行业的部分股票进行了实证分析。结果表明本文的投资决策方法易于操作且有效。
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| 关 键 词： | 无风险资产 不相关资产 有效资产组合投资 二次规划 |
Optimization Model of Uncorrelated Asset Combination Investment and Positive Analysis |
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| Systems Engineering.Optimization Model of Uncorrelated Asset Combination Investment and Positive Analysis[J].Systems Engineering —Theory & Practice,1998,18(4):34-40. |
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| Authors: | Systems Engineering |
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| Abstract: | This paper studies the optimization problem uncorrelated assets combination investment. Considering the existence state of riskless asset, we set up optimization model of uncorrelated assets combinaton investment under various constraints, and present the efficient combination set as well as its caculation formalas of investment proportions.The positive analysis on Shanghai stock market showes that the investment decision method proposed in this paper is effective |
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| Keywords: | riskless asset no relationship asset efficient combination investment quadratic programming |
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