【摘要】 给出了协差阵半正定且有n-r个零特征值的一般情况下,Markowitz均值——方差最优投资组合模型的解及由单纯形表求得n-r个无风险基金权重的最优解.更多还原

【Abstract】 It is given that solution of Markowitz′s optimal portfolio model in the case with semi-positive variance-covariance matrix with n-r zero characteristic root and found the solution vk which make total profit S to get maximum by simplicial chart.更多还原