本文在一般均值-风险模型的框架下,在无套利假设下研究了奇异协方差矩阵和任意收益率分布情形下的投资组合问题,得到了模型有效边界的本质特征,并给出了极大线性无关组的确定方法及表示系数的求解方法,最后根据这些结论提出了有效的、操作性强的投资策略。 Under the framework of general average-risk model, under the assumption of no arbitrage, this paper studies the portfolio portfolio under the condition of singular covariance matrix and arbitrary yield distribution. The essential characteristics of the effective bounds of the model are obtained and the maximal linearity Irrelevant group and the solution of the coefficient of expression, and finally based on these conclusions put forward an effective and operational investment strategy.