加权行和指标下组合证券投资风险最小化迭代算法  

Iterative Methods for Portfolio Investment Risk Minimization with the Index of Weighted Sum of Line Elements

作　　者：王竹[1] 唐小我[1] 曹长修[2] 

机构地区：[1]成都电子科技大学管理学院,硕士研究生610054 [2]重庆大学自动化系,教授博士导师630044

出　　处：《系统工程》1994年第5期53-58,共6页Systems Engineering

基　　金：国家自然科学基金;项目号:79270083

摘　　要：本文在分别研究无非负投资比例系数约束及有非负投资比例系数约束下最小风险组合证券的充要条件的基础上,提出了两种以收益率协方差矩阵的加权行和为指标的迭代算法。证明了算法分别收敛于两种约束下组合证券投资的最小风险。并给出一个七阶的组合证券投资风险最小化的计算实例。In this paper, two iterative methods with the index of weighted sum of line elements of the earning rate's covariance matrix are put forward,which based upon the seperate studies of the necessary ;md sufficient conditions of portfolio investment risk minimization that allows or prohibits short selling. Two methods are proved to seperately converge to the minimum risks of portfolio investment with two diffevent kinds of constraints. A model of a seven orclers portfolio investment risk minimization is discussed.

关 键 词：组合证券 风险最小化 投资 

分 类 号：F830.9[经济管理—金融学]