| 摘要: |
| 引入最小二阶矩方法来讨论和分析证券组合在当前价格的风险,得到证券组合的最小二阶矩模型,并导出风险和风险系数的计算公式,推论的结果与Markowitz的最小方差法的结果一致.分析结果表明,证券组合的最小二阶矩法比最小方差法更具优越性. |
| 关键词: 证券组合投资 最小二阶矩法 当前价格 风险 风险系数 |
| DOI： |
| 投稿时间：2002-02-20 |
| 基金项目: |
|
| A Method of Least Second Moment for Portfolio Selection |
|
Lin Xiaogui
|
| (Department of Management Engineering, Guangxi University of Technology, Liuzhou, 545006) |
| Abstract: |
| A least second moment method is used to analyze the current price risk for portfolio selection.The model,risk and formulae of risk coefficients are obtained.The results are in line with the Markowitz's least variance method.The analysis results show that the least second moment method is better than the least variance method in portfolio selection. |
| Key words: portfolio selection least second moment method present price risk risk coefficient |
