机构地区: 宁夏大学
出 处: 《数学的实践与认识》 2003年第4期31-37,共7页
摘 要: 本文提出了风险证券有效组合的决策模型 ,给出了投资比例非负约束的风险证券有效组合的解析表示 ,研究了证券个数变动对证券组合有效集的影响 .分析了它的漂移方向和漂移范围 。 This paper present decision model of efficient portfolios and gave its explicit solution with nonnegative investment proportions containts. It studied the effects of the efficientfrontier when the number of securities increased and analyzed thatthe driftdirection of portfolio efficientfrontier.Meanwhile,we gave the driftdistance of the minimum risk portfolio and the maximum return portfolio on efficientfrontier.