最小方差组合证券集的性质  

The Character of Minimum Variance Combined Securities Set

作　　者：张丹松[1] 李馨[2] 

机构地区：[1]五邑大学管理学院,江门529020 [2]北京理工大学计算机系,北京100081

出　　处：《数学的实践与认识》2003年第9期68-74,共7页Mathematics in Practice and Theory

摘　　要：从分析最小方差组合证券集入手 ,研究了均值方差有效组合证券边界的性质 ,给出最小方差组合证券集是一个仿射集 ,并且对有效组合证券结构的统计特性进行了分析 。By analyzing the minimum variance combined securities set, studies the boundary character of mean square effective combined securities, indicates that the minimum variance combined securities set is a affine set. And analyzes the statistical character of effective combined securities, it is directive to securities invest.

关 键 词：方差 组合证券集 有效证券组合 均值 风险证券 收益率 仿射集 

分 类 号：F224.7[经济管理—国民经济]