机构地区: 暨南大学经济学院会计学系
出 处: 《系统工程理论方法应用》 1993年第3期1-8,共8页
摘 要: Konno-Suzuki模型是证券组合优化均值方差模型的一个新的近似模型。H.Konno和K.Suzuki给出了一种近似算法。他们的近似解法有两个理论问题有待回答:①近似值与最优值的关系如何?②如何改进已有的近似解,本文回答了上述问题。 Konno-Suzuki Model presented by H. Konno & K. Suzuki is a new approximative model of mean-variance model of portfolio optimization. However there still exist two questions of the method: (1) What is the relationship between the approximative and optimal values? (2) How to improve the existing approximative solution? The ansers are given question are answered in this paper.
领 域: [经济管理]