| 奇异方差阵下的证券组合投资均值-方差模型研究 |
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| 引用本文： | 蒋福坤,刘正春.奇异方差阵下的证券组合投资均值-方差模型研究[J].浙江工业大学学报,2004,32(3):349-353. |
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| 作者姓名： | 蒋福坤 刘正春 |
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| 作者单位： | 嘉兴学院,浙江,嘉兴,314001 |
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| 摘 要： | 在用于度量投资风险的方差阵为奇异时,本文通过建立收益率向量分量间的线性关系,研究了允许卖空情形下证券组合投资均值-方差模型,给出了计算最优投资比例系数的方法,同时也给出了模型的有效边界.
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| 关 键 词： | 线性相关 方差阵 证券投资组合 最优投资比例系数 有效边界 |
| 文章编号： | 1006-4303(2004)03-0349-05 |
| 修稿时间： | 2004年1月25日 |
The study of mean-variance model for portfolio investment under singular definite covariance matrix |
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| JIANG Fu-kun,LIU Zheng-chun.The study of mean-variance model for portfolio investment under singular definite covariance matrix[J].Journal of Zhejiang University of Technology,2004,32(3):349-353. |
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| Authors: | JIANG Fu-kun LIU Zheng-chun |
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| Abstract: | When the covariance matrix used to measure the risk of investment is singular, by using the linear relationship of return rate, this paper deals with the mean-variance model of portfolio investment when short selling being allowed, and it gives calculating method for optimal investment coefficient of proportionality as well as efficient boundary. |
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| Keywords: | linear dependence covariance matrix portfolio investment optimal investment coefficient of proportionality efficient boundary |
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