蒋春福, 戴永隆. 奇异协方差阵下证券组合的有效子集[J]. 应用概率统计, 2008, 24(5): 484-492.
引用本文: 蒋春福, 戴永隆. 奇异协方差阵下证券组合的有效子集[J]. 应用概率统计, 2008, 24(5): 484-492.
Jiang Chunfu, Dai Yonglong. Efficient Subset for Portfolio with Singular Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(5): 484-492.
Citation: Jiang Chunfu, Dai Yonglong. Efficient Subset for Portfolio with Singular Covariance Matrix[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(5): 484-492.

奇异协方差阵下证券组合的有效子集

Efficient Subset for Portfolio with Singular Covariance Matrix

  • 摘要: Szeg\"o曾猜想当协方差阵奇异时可能存在有效子集, 本文在奇异协方差阵下利用有效组合的通解, 给出了证券组合有效子集的一个等价定义, 并得到了在证券全集中存在有效子集的充要条件, 还给出了证券子集为有效子集的一些新的充要条件.

     

    Abstract: Szeg\"o proposed that efficient subset could occur in the optimal portfolio selection problem with singular covariance matrix. An equivalent definition of efficient subset is given based on the analytic solutions of efficient portfolio in this paper. Some necessary and sufficient conditions for existing efficient subset in the stock market and for determining whether a stock subset is efficient one or not are also derived from the equivalent definition.

     

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