允许卖空情况下证券投资组合的概率准则模型  

Portfolio model of short selling with probability criterion

作　　者：韩其恒[1] 唐万生[1] 梁建峰[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2003年第4期289-293,共5页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70171004);天津市自然科学基金资助项目(013602611).

摘　　要：从概率角度出发,提出一种新型证券投资组合模型.该模型把实现预期收益的概率作为目标函数,使之达到最大.文中将概率准则模型与传统模型作对比分析,解释了该模型的现实意义.在允许卖空的市场条件下,使用优化方法给出了模型的最优解及目标函数的解析表达式,并给出数值算例.This paper develops a portfolio model to maximize the probability that the rate of return is no less than an expected rate of return. This paper also presents a comparative analysis between traditional models and this model, and explains its realistic meaning. Under the condition that short selling is permitted, this paper presents a method for determining the explicit representation of the optimal portfolio and the criterion function, and gives an illustrative example.

关 键 词：证券投资组合 概率准则模型 目标函数 风险 证券市场 证券收益率 卖空情况 

分 类 号：F830.91[经济管理—金融学]