组合证券投资的概率准则模型探讨  

The Discussion of Portfolio Investment Models with Probability Criterion

作　　者：傅荣林[1] 

机构地区：[1]广州大学系统工程研究所,广州510405

出　　处：《运筹与管理》2002年第4期97-105,共9页Operations Research and Management Science

摘　　要：在基于概率准则的组合证券模型下 ,把实现一定收益率水平目标的概率优化模型的求解转化成易于求解的非线性规划问题 ,从而方便地得出模型的解及其意义 ;提出了概率准则下的 β值组合证券投资决策模型 ,研究了它们解的存在性和求解的公式 ,并给出了上海股市股票的数值算例。In this paper, the portflio investment models under probability criterion are investigated , and the model solutions can be converted to solve nonlinear programming easily. Moreover, we study the condition under which solution of the β value portfolio investment model with probability criterion and the formula of solving the model are given. Finally, we provide some computational results based on Shanghai Stock Exchange.

关 键 词：组合证券投资 概率准则模型 收益率水平 β值 卖空 

分 类 号：F830.91[经济管理—金融学]