H值意义下不允许卖空时优良证券组的筛选  

Selection of Top Quality Portfolio under H-value Rule of Restricting Short Sale

作　　者：梁亦孔[1] 洪银萍[1] 

机构地区：[1]上海工程技术大学基础教学学院,上海201620

出　　处：《上海工程技术大学学报》2007年第2期166-169,共4页Journal of Shanghai University of Engineering Science

基　　金：上海高校选拔培养优秀青年教师科研专项基金资助项目(05XPYQ39)

摘　　要：探讨了H值意义下不允许卖空时,优良证券组的筛选策略,给出了可行证券组的定义以及性质,最后得到了市场指数模型下优良证券组合筛选的简便方法。How to select several top quality portfolios under H-value rule of restricting short sale was studied. The definition and property of the feasible portfolio were given. Then the simpler method of selection was introduced under the market index model.

关 键 词：H值 可行证券组 市场指数模型 均值方差模型 

分 类 号：F224.0[经济管理—国民经济]