论文部分内容阅读
在考虑限制卖空风险证券的基础上,借助效用函数,对无风险资产存在时证券组合最优化模型进行研究,给出了期望效用最大化时无风险资产和风险证券投资权重的解析表达式。
Based on the utility model, the paper studies the securities portfolio optimization model in the presence of risk-free assets, and gives the analytic expressions of the risk-free assets and the investment weights of risk securities when the utility is maximized.