ISSN 1008-2204
CN 11-3979/C
刘俊礼. 投资组合选择的简化算法及其应用[J]. 北京航空航天大学学报社会科学版, 2006, 19(1): 16-19.
引用本文: 刘俊礼. 投资组合选择的简化算法及其应用[J]. 北京航空航天大学学报社会科学版, 2006, 19(1): 16-19.
LIU Jun-li. The Simplified Algorithms for Portfolio Selection and Its Application[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2006, 19(1): 16-19.
Citation: LIU Jun-li. The Simplified Algorithms for Portfolio Selection and Its Application[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2006, 19(1): 16-19.

投资组合选择的简化算法及其应用

The Simplified Algorithms for Portfolio Selection and Its Application

  • 摘要: 用Markowitz模型进行投资组合选择需要非常多的数据并要进行大量的计算,即使在计算机技术非常发达的今天也是非常繁琐的。学者们在CAPM市场指数模型的基础上提出了投资组合选择的简化算法。文章对此进行了介绍,并将该算法应用于证券投资基金投资组合的选择优化。这对证券投资基金管理机构进行市场操作具有现实借鉴意义。

     

    Abstract: Although computer technology is very advanced now, using Markowitz’s portfolio theory to optimize portfolio selection is very tedious. On the basis of market index model of CAPM, Scholars give simple algorithm for portfolio selection. The paper introduces this simple algorithm and give simplified algorithm for mutual funds portfolio selection. The algorithm can guide actual market operation.

     

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