| 证券组合中的风险控制 |
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| 引用本文： | 刘冰一 丛龙辉. 证券组合中的风险控制[J]. 北方工业大学学报, 1999, 11(3): 1-5 |
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| 作者姓名： | 刘冰一 丛龙辉 |
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| 作者单位： | 北方工业大学数量经济研究所!北京石景山100041 |
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| 摘 要： | 利用单因素模型测算了所投资证券的风险值，并在此基础上，给出了关于Ｍａｒｋｏｗｉｔｚ证券组合选择模型的ＳＵＭＴ外点法求解方法。
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| 关 键 词： | 单因素模型 风险值 证券组合选择 SUMT |
Risk Control of Portfolio |
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| Liu Bingyi, Cong Longhui. Risk Control of Portfolio[J]. Journal of North China University of Technology, 1999, 11(3): 1-5 |
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| Authors: | Liu Bingyi Cong Longhui |
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| Abstract: | In this paper, the value at risk of invested securities is measured by making use of the single factor model, on the basis of which the Sequential Unconstrained Minimization Technique (SUMT) at the outside point is given to resolve the problem of Harry M. Markowitz portfolio selection. |
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| Keywords: | single factor model value at risk portfolio selection SUMT |
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