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将数学优化思想引入证券组合风险分析 ,以离差测度证券组合风险 ;提出了求解给定期望收益率下最小风险投资组合的一般解法 ;建立了非线性规划模型 ,并针对 6种典型股票 ,对在多水平期望收益率下的组合方案给予分析。
This paper introduces mathematic optimization thought into portfolio risk analysis to measure portfolio risk by dispersion. Proposes a general solution to solve the minimum risk portfolio under a given expected return. A nonlinear programming model is established. The portfolio is analyzed at the multi-level expected rate of return.