[1]沈根祥..投资组合均值-方差准则的新解法[J].郑州大学学报(工学版),2001,22(04):43-44,48.[doi:10.3969/j.issn.1671-6833.2001.04.012]
　SHEN Genxiang..A new solution to the mean-variance criterion for portfolios[J].Journal of Zhengzhou University (Engineering Science),2001,22(04):43-44,48.[doi:10.3969/j.issn.1671-6833.2001.04.012]

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投资组合均值-方差准则的新解法()

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《郑州大学学报(工学版)》[ISSN:1671-6833/CN:41-1339/T]

卷:

22卷

期数:

2001年04期

页码:

43-44,48

栏目:

出版日期:

1900-01-01

文章信息/Info

Title:

A new solution to the mean-variance criterion for portfolios

作者:

沈根祥.

上海财经大学经济学院,

Author(s):

SHEN Genxiang.

关键词:

资产组合;  均值-方差准则;  矩阵

Keywords:

asset portfolio;  mean-variance criterion;  Matrix

DOI:

10.3969/j.issn.1671-6833.2001.04.012

文献标志码:

A

摘要:

对资产组合理论的均值-方差准则的Lagrange求解方法进行分析,指出由于Lagrange法只给出极值点存在的必要条件,采用该求解方法证明收益一定时方差最小投资组合的存在性存在缺陷.以矩阵为分析工具,将限制条件用线性方程组解的广义逆矩阵形式表示,通过线性方程组解的理论,给出均值-方差准则的一种新解法.

Abstract:

The Lagrange solution method of the mean-variance criterion of portfolio theory is analyzed, and it is pointed out that since the Lagrange method only gives the necessary conditions for the existence of extreme points, the solution method is used to prove that there is a defect in the existence of the portfolio with the smallest variance at a certain time of return. Taking the matrix as the analysis tool, the restriction condition is expressed in the form of a generalized inverse matrix of the solution of the linear equation system, and a new solution to the mean-variance criterion is given through the theory of the solution of the linear equation system.

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