| 均值-方差模型研究 |
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| 引用本文： | 霍雨鲁,张海涛.均值-方差模型研究[J].科学技术与工程,2009,9(4). |
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| 作者姓名： | 霍雨鲁 张海涛 |
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| 作者单位： | 华南理工大学理学院,广州,510640 |
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| 摘 要： | 文章探讨了投资组合风险规划模型,首先回顾了一般的均值-方差模型,在此基础上,对模型进行了拓展,提出了解方程的思想,最后通过案例实证分析得到组合的最优解.
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| 关 键 词： | 投资组合 均值-方差模型 最优解 |
Research on Mean-variance Risk Model |
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| HUO Yu-lu,ZHANG Hai-tao.Research on Mean-variance Risk Model[J].Science Technology and Engineering,2009,9(4). |
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| Authors: | HUO Yu-lu ZHANG Hai-tao |
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| Institution: | Department of Mathematics;South China University of Technology;Guangzhou 510640;P.R.China |
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| Abstract: | The program model portfolio is discussed.The general mean-variance risk model is reviewed,then the model is expanded based on the above model,and put forward to the thinking of the equation.Last the Empirical analysis is used to obtain the optimal solution. |
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| Keywords: | portfolios mean-variance risk model optimal solution |
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