金融投资决策的负权重解读  

Interpretation on Negative Weights of Financial Investment Decision

作　　者：许启发[1] 蒋翠侠[2] 王永喜[1] 

机构地区：[1]山东工商学院统计学院 [2]山东工商学院数学与信息科学学院

出　　处：《统计教育》2008年第6期37-42,共6页Statistical education

摘　　要：与非负权重不同,文献中较少讨论负权重的存在及其相关的性质。本文从金融投资决策的角度给出了负权重存在的实际背景,利用经典的均值-方差模型对金融资产进行配置求得了负权重,讨论了负权重的含义。最后,利用MATLAB软件及EXCEL软件对负权重进行图形显示,并将可视化的结果进行了对比。Different from non-negative weights, negative weights and its properties are seldom discussed in existing documents. From the view of financial investment, the practical background of negative weights has been proposed in the paper. In empirical analysis, we get the negative weights for assets allocation through the classical mean-variance model, and interpret its significant. Finally, the figures for negative weights are illustrated by the MATLAB and EXCEL software respectively, and the visualization results are compared.

关 键 词：负权重 均值-方差模型 MATLAB软件 EXCEL软件 

分 类 号：O211.67[理学—概率论与数理统计] TP391.9[理学—数学]