一类风险资产投资组合问题建模与分析  

Modeling and Analysis of the Problems on a Kind of Risk Asset Investment Make-up

作　　者：管维强[1] 周威[1] 韩西安[2] 

机构地区：[1]装备指挥技术学院,试验指挥系,北京,101416 [2]装备指挥技术学院,基础部,北京,101416

出　　处：《装备指挥技术学院学报》2003年第5期93-96,共4页Journal of the Academy of Equipment Command & Technology

摘　　要：首先建立了风险资产投资组合的数学模型;然后应用随机模拟的方法分析讨论了资产投资组合的有效边界,同时通过把模型转化为线性规划求解,给出了计算有效边界的解析式;最后通过引入无差异曲线,给出了风险资产最优投资组合解.Firstly, this paper sets up an objectprogramming model of the risk asset investment makeup. Then, discusses the effective interface by the method of Monte Carlo, and changes the model to linear programming model and gets the analytic formula of the effective interface. Finally, by introducing the indifference curve, the paper gives the most optimistic solution of the model.

关 键 词：风险资产投资组合 有效边界 无差异曲线 最优组合 数学模型 

分 类 号：F830.59[经济管理—金融学]