在现代金融理论的基本框架下,提出了证券选择的极大极小设计(即最差情况最优化)的概念与方法主要证明了当金融市场完备时使最差情况证券收益率最优的证券组合的存在性,给出极大极小收益率的大小及求解最优证券组合的方法最后还基于简单的算例讨论了极大极小证券选择方法的特点等问题 Under the basic framework of modern financial theory, the concepts and methods of the minimax design (ie, the worst case optimization) of securities selection are proposed. The concepts and methods mainly prove that the securities with the worst case return when the financial markets are complete The existence of portfolio, given the size of the minimum and maximum rate of return and the optimal portfolio of securities method Finally, based on a simple case study discussed the characteristics of the method of selection of the minimum and maximum security and other issues