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本文基于证券组合系统风险和非系统风险的定量分析 ,建立了含β约束的证券组合多目标优化模型 .文中给出了模型的解析解 ,分析了解的性态 ,并通过数值例子检验了模型的解 .研究结果表明 ,只要适当控制证券组合的非系统风险 ,就能确保所求证券组合具有良好的分散性 ,从而较好地解决了β-类模型中的投资分散问题
In this paper, based on the quantitative analysis of the risks and non-systematic risks of the securities portfolio, a multi-objective optimization model of securities portfolio with β constraint is established. The analytical solution of the model is given, the state of the solution is analyzed, and the numerical example is used to test the model’s Solution. The results show that as long as the non-systematic risk of securities portfolio is appropriately controlled, the securities portfolio can be ensured to be decentralized and thus the problem of investment diversification in the β-type model can be solved well