| 改进的非正定方差阵下证券组合投资模型 |
| |
| 引用本文： | 鄢丽.改进的非正定方差阵下证券组合投资模型[J].甘肃联合大学学报(自然科学版),2011,25(1):24-25,30. |
| |
| 作者姓名： | 鄢丽 |
| |
| 作者单位： | 长江师范学院,数学与计算机学院,重庆,408100 |
| |
| 基金项目： | 长江师范学院科学研究项目(09JKY053) |
| |
| 摘 要： | 为了更全面的研究各类方差阵下的证券组合投资模型,在分析非负定方差阵下的证券组合投资模型1]的基础上,利用线性代数的二次型及对称阵的相关理论知识,提出了非正定方差阵下证券组合投资模型的改进方法,使得模型中的方差阵最终转化成正定阵.此模型对于研究协方差矩阵为非正定的证券组合投资模型的最优投资比列系数有一定的参考价值.
|
| 关 键 词： | 证券组合 非正定阵 对称阵 |
Ameliorable Model for Portfolio Investment Under Non-Positive Definite Covariance Matrix |
| |
| YAN Li.Ameliorable Model for Portfolio Investment Under Non-Positive Definite Covariance Matrix[J].Journal of Gansu Lianhe University :Natural Sciences,2011,25(1):24-25,30. |
| |
| Authors: | YAN Li |
| |
| Institution: | YAN Li(Department of mathematic science,Yangtze normal University,chongqing 408100,China) |
| |
| Abstract: | For more comprehensive studying portfolio investment model,on the basis of analysing paper1],an ameliorable method for portfolio investment model after non-positive definite covariance matrix is presented,which used quadric form and symmetrical matrix in the linear algebra.The research has some reference worthiness for optimal investment proportional coefficient. |
| |
| Keywords: | portfolio non-positive definite matrix symmetrical matrix |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
