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投资风险最小模型的旋转算法

发表时间:2015-07-15  浏览量:1563  下载量:545
全部作者: 徐玲丽,索新丽,周军,吴飞跃,刘水昌,李高斌
作者单位: 中国矿业大学理学院
摘 要: 以风险-收益为核心思想,在股票投资组合中引入系统风险和非系统风险的概念,在预期收益一定的条件下,建立风险最小的股票组合投资模型,利用解线性不等式组的一种旋转算法对模型进行求解,并进行算例分析,得到最优的投资组合策略。
关 键 词: 应用数学;投资组合;收益;风险;股票;旋转算法
Title: Rotation algorithm of the minimum portfolio risk model
Author: XU Lingli, SUO Xinli, ZHOU Jun, WU Feiyue, LIU Shuichang, LI Gaobin
Organization: College of Sciences, China University of Mining & Technology
Abstract: This passage focused on risk and profit as its central thoughts and introduced the concept of systematic and unsystematic risk into stock portfolio. When the anticipated profits are invariable, we build a stock portfolio model with the minimum risk and make use of a rotation algorithm based on linear inequalities to solve the model. After providing and analysing an example, we obtained its optimal portfolio strategy.
Key words: applied mathematics; portfolio; profit; risk; stock; rotation algorithm
发表期数: 2015年7月第13期
引用格式: 徐玲丽,索新丽,周军,等. 投资风险最小模型的旋转算法[J]. 中国科技论文在线精品论文,2015,8(13):1383-1389.
 
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