| 限制投资下界的双目标风险证券组合模型及实证研究 |
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| 引用本文： | 李婷,徐维军. 限制投资下界的双目标风险证券组合模型及实证研究[J]. 宁夏大学学报(自然科学版), 2009, 30(4) |
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| 作者姓名： | 李婷 徐维军 |
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| 作者单位： | 宁夏大学,数学计算机学院,宁夏,银川,750021;华南理工大学,工商管理学院,广东,广州,510641 |
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| 基金项目： | 国家自然科学基金资助项目，宁夏大学科研基金资助项目 |
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| 摘 要： | 许多研究所考虑的都是投资风险的最小化或投资收益的最大化,但对于一个典型的投资者而言,一方面希望收益率尽可能高,另一方面也希望风险尽可能小.因此,为了适应证券市场和实际操作需要以及投资者的喜好,分析了限制投资下界的双目标风险证券投资组合模型,并给予实例分析.
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| 关 键 词： | 证券有效组合 双目标规划 Pareto最优 |
Bi-objective Portfolio of Risky Securities with Lower Bound and Empirical Study |
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| Li Ting,Xu Weijun. Bi-objective Portfolio of Risky Securities with Lower Bound and Empirical Study[J]. Journal of Ningxia University(Natural Science Edition), 2009, 30(4) |
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| Authors: | Li Ting Xu Weijun |
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| Affiliation: | Li Ting1; Xu Weijun2(1.School of Mathematics and Computer Science; Ningxia University; Yinchuan 750021; China; 2.School of Business Administration; South China University of Technology; Guangzhou 510641; China); |
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| Abstract: | Many researchers only considerate maximum of portfolio return or minimum of portfolio risk, but an typical investor prefers to higher portfolio return and lower risk. So the problem of bi-objective portfolio of risky securities with lower bound is studied in this paper, and Pareto optimal of this model is analyzed. Finally, an empirical example is provided. |
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| Keywords: | efficient portfolio bi-objective programming Pareto optimal |
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