| 投资组合模型及其边界分析 |
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| 引用本文： | 李苏.投资组合模型及其边界分析[J].宁夏大学学报(自然科学版),2005,26(3):233-235. |
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| 作者姓名： | 李苏 |
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| 作者单位： | 西北第二民族学院,经济管理系,宁夏,银川,750021 |
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| 摘 要： | 研究了投资组合的2种数学模型及其边界，在分析投资组合均值-方差模型（M—V模型）及其边界的基础上，详细讨论了最优投资组合均值-VaR模型（M—VaR模型）及其边界，并证明了2种模型边界之间的关系．
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| 关 键 词： | 投资组合 均值-方差模型 均值-VaR模型 |
| 文章编号： | 0253-2328（2005）03-0233-03 |
| 收稿时间： | 2005-04-15 |
| 修稿时间： | 2005年4月15日 |
The Analysis of Portfolio Models and Their Bounds |
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| Li Su.The Analysis of Portfolio Models and Their Bounds[J].Journal of Ningxia University(Natural Science Edition),2005,26(3):233-235. |
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| Authors: | Li Su |
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| Institution: | Department of Economy and Management, the Second Northwest Institute for Ethnic Minorities, Yinchuan 750021,China |
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| Abstract: | In this paper,we study two kinds of models and their bounds.We relate value at risk(VaR) to M-V model analysis and examine the efficient portfolios and their bounds arising from using a M-VaR model for portfolio selection.Finally,we prove the relation of two models' bounds. |
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| Keywords: | portfolio M-V model M-VaR model |
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