| 确定证券组合投资有效集的方法研究 |
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| 引用本文： | 黄伟民 赵禹骅. 确定证券组合投资有效集的方法研究[J]. 广西工学院学报, 1996, 7(1): 71-77 |
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| 作者姓名： | 黄伟民 赵禹骅 |
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| 作者单位： | 广西化轻建材柳州公司，中国工商银行柳州市分行 |
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| 摘 要： | 证券组合投资有效集是确定合理投资结构的关键。本文研究了证券组合投资风险函数及有效集（有效边界）的凹性，提出了将求最小风险的二次规划转化为线性规划问题，并根据其最优基及其灵敏度分析，分段确定有效边界（有效集）的方法。这种方法使各段有效边界可直接由相应的数学表达式求得，计算量大大减少，并提供了投资组合的精确解。
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| 关 键 词： | 证券组合 有效投资组合 有效集 最优基 证券交易 |
The Method of the Establishment of the Efficient Set of the Stocks Combination Investment |
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| Huang Weimin. The Method of the Establishment of the Efficient Set of the Stocks Combination Investment[J]. Journal of Guangxi University of Technology, 1996, 7(1): 71-77 |
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| Authors: | Huang Weimin |
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| Abstract: | The efficient set of the stocks combination investment is the key to determin the rational investment structure. The paper discusses the concavity of the risk function of the stocks combination and the efficient set (efficient boundary), and puts foward a method of establishing the efficient boundary in section, which is based on the method of converting the quadratic plan into the linear plan according to the optimal base and sensitivity analysis. Every part of the efficent boundary can be got directly by the relevant mathematic form with little computation and accurate solution of the investment strategy. |
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| Keywords: | Efficient investment combination Efficient set (Efficient boundary) Optimal base Sensitivity analysis |
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