组合证券投资的概率准则模型  

Portfolio investment model with probability criterion

作　　者：唐万生[1] 梁建峰[1] 韩其恒[2] 

机构地区：[1]天津大学系统工程研究所,天津300072 [2]上海财经大学金融学院,上海200433

出　　处：《系统工程学报》2004年第2期193-197,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,提出一种概率准则的新型组合证券投资模型.在此模型中,把实现预期收益的概率作为目标函数,使之达到最大.在证券收益率服从正态分布的条件下,给出了概率准则证券组合投资模型的确定性等价类模型.研究分析了概率准则证券组合投资模型与已有的传统证券组合投资模型的区别.另外,给出了模型最优解的必要条件以及目标值的范围估计,并给出数值算例.The problem of portfolio selection with probability criterion is investigated in this paper. The stochastic programming model for this problem is established. It is to maximize the probability that the return rate of portfolio is no less than a given expect rate. The deterministic equivalent model of the stochastic programming is given under the condition that the return rate of the securities has normal distribution. Some properties of this model that are different from the traditional models have been analyzed. The estimation for the range of the objective function is provided, and the necessary condition for the optimal portfolio investment weights is given. Finally, an illustrative example is given.

关 键 词：组合证券投资 概率准则模型 目标函数 证券收益率 数学模型 

分 类 号：F830.91[经济管理—金融学]