| 证券组合投资的动态模型研究 |
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| 引用本文： | 陈华友,王居平. 证券组合投资的动态模型研究[J]. 大学数学, 2001, 17(3): 16-20 |
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| 作者姓名： | 陈华友 王居平 |
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| 作者单位： | 安徽大学,合肥,230039 |
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| 摘 要： | 本文利用方差和绝对离差这两个风险度量指标 ,分别建立了证券组合投资的动态模型 ,并给出其解法 .从而使模型更符合实际 ,有利于实施最佳的组合投资的策略 .
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| 关 键 词： | 组合投资 动态模型 二次规划 |
| 文章编号： | 1007-4120(2001)03-0016-05 |
| 修稿时间： | 2000-02-23 |
Research on Portfolio Investment Dynamic Model |
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| CHEN Hua you,WANG Ju ping. Research on Portfolio Investment Dynamic Model[J]. College Mathematics, 2001, 17(3): 16-20 |
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| Authors: | CHEN Hua you WANG Ju ping |
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| Abstract: | In this paper, the improved portfolio investment dynamic models are put forward or introduced. Risk is measured by two indexes of variance and absolute deviate, and the solution of the models is given. It is convenient to carry out the optimal portfolio investment strategy. |
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| Keywords: | portfolio investment dynamic model quadratic programming |
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