有效边界

本文在Markowitz组合证券投资决策模型基础上提出了一种可产生更优组合证券投资策略的证券组合选择模型，研究了它的解的结构、它的有效边界的构成。

In this paper , we present a optimal portfolio choice model on the basis of Markowitz 's theory , study its solution and efficient frontier .

第一章从Markowitz的投资组合理论出发，建构了均值一方差模型并求取了有效边界，对放宽了限制条件的模型进行了拓展。

Chapter one introduces how to construct the mean-variance model based on Markowitz 's portfolio theory . Furthermore , the efficient frontier is derived , and the mean-variance model is extended to relax the constraints .

通过引入相对效率比η系数，改进了MatthewRichard的基准有效边界方法，进而通过计算η系数和信息率对我国52只封闭式基金业绩进行排名。

Using the relative effective ratio - η coefficient , the Benchmark-Efficient Frontier Methodology developed by Matthew & Richard has been improved .

实证研究中，VaR约束能够缩小有效边界的范围，提高投资组合的风险控制水平。

In addition , VaR constraint could narrow the value range of efficient boundary , and improve risk control of portfolio in the empirical study .

第二章阐述了组合投资的理论和方法，包括组合理论中常用的一些基本概念，其中一些概念来源于统计学，并且介绍了按照Erσ准则，如何选择最佳投资组合，确定有效边界。

The second chapter explains portfolio theory , focusing on its basic concepts & methods . According as the rules of Er_ a , select the best portfolio of investment and confirm efficient portfolio .

以方差为风险度量标准，建立了证券组合投资的E-V模型，分别探讨了允许卖空和不允许卖空条件下的求解方法和有效边界的性质问题。

Taking variance as the risk measure , the E-V model is established . The solution and property of efficient frontier with or without short sale constraint is analyzed .

用遗传算法直接搜索证券组合投资的有效边界

Study on efficient frontier in portfolio investment by using genetic algorithms

具有交易成本的组合投资有效边界的研究

The research on efficient frontier of portfolio investment with transaction costs

资本结构变化对组合投资有效边界的影响

Impact on the Efficient Frontier of Portfolio of Varying Capital Structure

企业负债投资的有效边界及其动态性质

Portfolio efficient frontier of company with liabilities and its dynamic properties

用规划法确定证券投资的有效边界

The Determination of Effective Boundary of Stock Investment by Programming

共同资金投资组合的有效边界与最优策略

The Efficient Frontier and Optimal Strategies of the Mutual Funds

这就是预期收益，和有效边界问题。

So that 's the expected return and efficient portfolio frontier problem .

融资约束条件下投资组合有效边界研究

Study on the Efficient Frontier of Portfolio under Financing Constraints

供应链生产柔性有效边界研究

A Study on the Efficient Frontiers of Supply Chain 's Volume Flexibility

基于有效边界的贷款组合优化决策模型

Decision-making model for optimization of loan 's portfolio based on efficient boundary

战略联盟与企业模糊动态有效边界

Strategic Alliance and the Fuzzy Dynamic Effective Border of Firm

组合投资中有效边界的一些性质和模型

Some Properties and Mathematical Models of the Efficient Frontier in Portfolio Investment

不允许卖空证券组合投资有效边界的确定

Establishment of Efficient Boundary of Portfolio Selection with No-short Selling

组合证券资产选择的模糊最优化模型和有效边界的研究

The fuzzy optimization models of portfolio selection and study of efficient frontier

存在无风险资产时组合投资的有效边界

The Efficient Boundary of Portfolio Allowing Risk-free Asset Investment

利率随资本结构变化条件下的组合投资有效边界

The Impact of Varying Interest Rate on Efficient Frontier

组合投资在E－Sh风险下的有效边界

The Effective Border of Portfolio Investment under E-Sh Risk

概率准则下的投资决策与有效边界间的关系

The Relationship between the Investment Decision-making with Probability Criterion and the Effective Frontier

确定组合证券投资有效边界的参数线性规划方法

A simplified parametric linear programming method for determining efficient frontiers of portfolio investments

带有交易成本的投资组合的有效边界

The Frontier of Portfolio Selection with Transaction Costs

基于非线性有效边界的基金绩效研究

Empirical Studies on the Performance of Security Investment Funds Based on Non-linear Efficient Frontier

限制性卖空情况下组合证券有效边界的特征和确定方法

Characteristics and determination of the efficient frontiers of portfolios with restricted short selling allowed

通过有效边界上的最优组合有效地控制和调整贷款组合的违约风险。

Optimal portfolio of efficient frontier controls and adjusts default risk of loan portfolio effectively .

给出了最优组合的计算方法和有效边界的表达式。

The methods for determining the optimal portfolio and efficient frontier of constitution are given .