四川大学学报（自然科学版）2004，Vol.41Issue(2)：221-225,5.
一般最小方差组合投资权系数
Generalized Minimum-Variance-Portfolio Weights
摘要
Abstract
Portfolio weights optimization has been extensively studied in the literature of portfolio management. The commonly used method is the Lagrange multiplier; however, this approach has some limitations: the fundamental assumption in this approach is that the covariance matrix of returns is positive definite, which renders the method not applicable in general. In this paper, the authors aim to use quadratic optimization theory in obtaining generalized optimal weights, whereby, the restriction on the covariance matrix is just a mere special case.关键词
期望回报/二次优化/风险Key words
expected returns/quadratic optimization/risk分类
数理科学引用本文复制引用
N.L. Kennedy,朱允民..一般最小方差组合投资权系数[J].四川大学学报（自然科学版）,2004,41(2):221-225,5.基金项目
国家自然科学基金(60374025) （60374025）
