| 不允许卖空下的无风险资产借贷的最优投资组合 |
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| 引用本文： | 陈 峰,成央金,吕婷婷,李光荣. 不允许卖空下的无风险资产借贷的最优投资组合[J]. 湖南工业大学学报, 2011, 25(6): 81-85 |
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| 作者姓名： | 陈 峰 成央金 吕婷婷 李光荣 |
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| 作者单位： | 湘潭大学数学与计算科学学院,湖南湘潭,411105 |
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| 摘 要： | 研究了不允许卖空条件下无风险资产借贷的最优证券投资组合问题,介绍了极大极小模型,研究了该模型的数学特征,给出了有效投资组合与有效前沿的解析表达式及其表达式的几何特征,并给出了具体算例。
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| 关 键 词： | 极大极小方法 最优化 组合证券 资产借贷 |
| 收稿时间： | 2011-09-05 |
An Optimal Portfolio of No Short Sales of Assets and Risk-Free Borrowing or Lending |
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| Chen Feng,Cheng Yangjin,Lv Tingting and Li Guangrong. An Optimal Portfolio of No Short Sales of Assets and Risk-Free Borrowing or Lending[J]. Journal of Hnnnan University of Technology, 2011, 25(6): 81-85 |
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| Authors: | Chen Feng Cheng Yangjin Lv Tingting Li Guangrong |
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| Affiliation: | (College of Mathematical and Computational Science,Xiangtan University,Xiangtan Hunan 411105,China) |
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| Abstract: | Portfolio selection in the case of no short sales of assets and risk-free borrowing or lending is investigated. A minimax model is established and the mathematic characteristics of the model are studied. The efficient portfolio, the efficient frontier of the analytic expression and the geometric characteristics are given, and a specific example is presented. |
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| Keywords: | minimax rule optimization portfolio borrowing or lending |
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