| 非负定方差阵下的证券组合投资决策模型研究 |
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| 引用本文： | 何宜庆,王浣尘,何宜强. 非负定方差阵下的证券组合投资决策模型研究[J]. 预测, 2001, 20(6): 54-55,77 |
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| 作者姓名： | 何宜庆 王浣尘 何宜强 |
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| 作者单位： | 1. 上海交通大学,安泰管理学院,上海,200052
2. 江西财经大学,江西,南昌,330013 |
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| 基金项目： | 国家自然科学基金重大资助项目(79990580);江西省自然科学基金资助项目(0011020) |
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| 摘 要： | 在用于度量投资风险的方差阵为非负定时，本文建立并研究了允许卖空与不允许卖空情形下证券组合投资决策模型，同时给出了计算最优投资比例系数的方法。
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| 关 键 词： | 证券组合投资 最优投资比例系数 非负定方差阵 |
| 文章编号： | 1003-5192(2001)06-0054-02 |
Study on Decision-making Model for Portfolio Investment under Non-negative Definite Covariance Matrix |
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| HE Yi qing ,WANG Huan chen ,HE Yi qiang. Study on Decision-making Model for Portfolio Investment under Non-negative Definite Covariance Matrix[J]. Forecasting, 2001, 20(6): 54-55,77 |
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| Authors: | HE Yi qing WANG Huan chen HE Yi qiang |
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| Affiliation: | HE Yi qing 1,WANG Huan chen 1,HE Yi qiang 2 |
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| Abstract: | In this paper, when the covariance matrix used to measure the risk of investment is nonnegative, we set up and study the decision making model for portfolio investment while short selling being allowed or not. Meanwhile, the method for calculating optimal investment proportional coefficient is given. |
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| Keywords: | covariance matrix portfolio investment optimal investment proportional coefficient |
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