| 最优证券组合权数的求解 |
| |
| 引用本文： | 何朝林. 最优证券组合权数的求解[J]. 安徽工程科技学院学报：自然科学版, 2002, 17(3): 67-70 |
| |
| 作者姓名： | 何朝林 |
| |
| 作者单位： | 安徽工程科技学院纺织服装系,安徽,芜湖,241000 |
| |
| 摘 要： | 在获得众多证券收益率的期望，方差和协方差信息的基础上，根据绝对风险规避的特征，首先。建立其求解最优组合权数的数学模型；然后，用数学方法求解；最后，根据中国证券市场的特点讨论如何建立相应的模型，如何针对不同情况给出最优投资权数．从而为绝对风险夫避在分配投资基金时提供一个科学的理论和方法．
|
| 关 键 词： | 权数 证券组合 证券收益率 中国证券市场 风险规避 投资基金 最优组合 求解 协方差 期望 |
| 文章编号： | 1007-5240(2002)-03-0067-04 |
| 修稿时间： | 2002-01-14 |
The solution to the protfolio''''s optimum proportion |
| |
| HE Chao lin. The solution to the protfolio''''s optimum proportion[J]. Journal of Anhui University of Technology and Science, 2002, 17(3): 67-70 |
| |
| Authors: | HE Chao lin |
| |
| Abstract: | After obtaining the mean, variance and covariance of many security's rate of return, this paper presents a mathematical model for the solution to the Portfolio's optimum proportion according to the absolute risk averter's characteristic at first; then the mathematical method is used to solve the optimum proportion; at last, in the light of the characteristics of Chinese security market, it discusses how to build the corresponding model, how to get the optimum proportion to suit the different problem. All these provide a scientific theory and method for the absolute risk averters to distribute their fund. |
| |
| Keywords: | the absolute risk averter the portfolio model the optimum investment proportion |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
