运用MTV模型与Morkowitz证券组合选择模型的投资决策系统  

Investing Decision-making System based on MTV and Morkowitz Security Assemble Selection Model

作　　者：刘继云[1] 肖鸿晶[2] 

机构地区：[1]东莞理工学院,广东东莞523808 [2]江西经济管理干部学院,江西南昌330200

出　　处：《科技创业月刊》2006年第9期31-32,共2页Journal of Entrepreneurship in Science & Technology

摘　　要：证券组合投资理论是现代投资理论研究的主要方向,讨论了利用期望和方差的秩系数法、MTV模型、Morkowitz证券组合选择模型,提出了投资决策方法,构造了一实用的投资决策系统。Security assembly investment theory is the main research direction of modern investment theory.This paper discussed rank coefficient method based on expectation and variance, MTV model,Morkowitz security assembly selection model,provided investing decision-making method,built the practical investing decision-making system.

关 键 词：二次规划 证券组合 时间序列 协方差 秩相关系数 

分 类 号：F830.59[经济管理—金融学]