最小风险组合证券非负投资比例系数的确定  

Decision on nonnegative investment proportional coefficient of portfolio for risk minimization

作　　者：邓雪[1] 

机构地区：[1]华南理工大学数学科学学院

出　　处：《纯粹数学与应用数学》2007年第4期524-528,共5页Pure and Applied Mathematics

摘　　要：研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.We discuss the problem of portfolio investment with risk minimization subject to nonnegative investment proportional coefficient. The purpose of this paper is to study on nonnegative investment proportional coefficient of portfolio for risk minimization with penalty function. Practical portfolios present that this method is feasible and effective.

关 键 词：组合证券投资 风险最小化 罚函数 最优投资比例系数 

分 类 号：O211.1[理学—概率论与数理统计]