【摘要】 当收益率的协方差矩阵为奇异矩阵时 ,均值 -方差模型的最优投资组合问题不宜直接求解 ,本文通过利用收益率的主成分和二次凸规划的求解方法 ,给出了问题解的解析表达式更多还原

【Abstract】 The optimal portfolio selection of average voluesquare error model is hardly solved, if covariance matrix of yield is singular matrix. To the optimal portfolio of singular covariance matrix, the paper gives the expression of average voluesquare error modelmeanvariance model’s solution with the principal components and the method solving quadratic programming.更多还原