| 一种组合证券投资风险最小化的迭代算法 |
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| 引用本文： | 唐小我,王竹,曾勇.一种组合证券投资风险最小化的迭代算法[J].电子科技大学学报(社会科学版),1994(4). |
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| 作者姓名： | 唐小我 王竹 曾勇 |
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| 作者单位： | 电子科技大学管理学院 |
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| 摘 要： | 提出了一种组合证券风险最小化的迭代算法，证明了其收敛性，该算法操作简便，适免了最优投资比例计算中的矩阵求逆问题，并且在不允许卖空情况下，不会增加计算的复杂性。文中同时还给出了不允许卖空情况下组合证券风险最小化的线性规划模型。
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| 关 键 词： | 组合证券，风险，收敛性，迭代算法 |
AN ITERATIVE ALGORITHEM FOR THE RISK MINIMIZATION OF PORTFOLIO INVESTMENTS |
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| Tang Xiaowo , Wang Zhu , Zeng Yong.AN ITERATIVE ALGORITHEM FOR THE RISK MINIMIZATION OF PORTFOLIO INVESTMENTS[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),1994(4). |
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| Authors: | Tang Xiaowo Wang Zhu Zeng Yong |
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| Abstract: | An iterative algorithem is proposed for the risk minimization of portfolios , and it is proved to converge to the optimal portfolio. The algorithem is easily operated and no calcula-tion of matrix inverse is needed in the algorithem. Futhermore, calculation difficulty will not in-crease by using this algorthem when short selling is not allowed. A linear programming model for the risk minimization of portfolios in which short selling is not allowed is also put forward. |
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| Keywords: | portfolio risk convergence iterative algorithem |
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