| 证券收益与风险的投资可行集有效边界的数学刻画与Matlab计算 |
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| 引用本文： | 陈静,胡良剑. 证券收益与风险的投资可行集有效边界的数学刻画与Matlab计算[J]. 科学技术与工程, 2009, 9(12) |
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| 作者姓名： | 陈静 胡良剑 |
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| 作者单位： | 东华大学理学院,上海,201620 |
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| 摘 要： | 将以金融学中经典的证券投资组合选择(Markowitz)理论为基础,导出了权衡证券收益与风险的数学模型--投资可行集有效边界的数学刻画,得到了具体的有效边界函数表达式.用具体的例子说明了不同约束条件下有效边界和最优投资组合的计算,同时也验证了Matlab及其金融工具箱在金融计算上的有效性和实用性.
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| 关 键 词： | 风险-收益投资 投资可行集 有效边界 |
Mathematical Model for the Efficient Frontier of the Feasible Set in the Risk-return Investment |
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| CHEN Jing,HU Liang-jian. Mathematical Model for the Efficient Frontier of the Feasible Set in the Risk-return Investment[J]. Science Technology and Engineering, 2009, 9(12) |
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| Authors: | CHEN Jing HU Liang-jian |
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| Affiliation: | College of Sciences;Donghua University;Shanghai 201620;P.R.China |
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| Abstract: | Based on the classical theories of finance the mathematical models for the efficient frontier and the optimal portfolios in the risk-return investment are dicussed and the explicit expression of the efficient frontier for the investing feasible set is presented,which makes up for the financial toolbox's deficiency.Matlab toolbox is used to compute three examples of the risk-return investment. |
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| Keywords: | Matlab |
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