【摘要】 采用HT∞(X)-风险函数衡量组合风险,建立新的双标准优化模型.该模型所反映的均衡关系,可作为投资者进行投资组合的依据.由于风险函数是不可微的,故传统的优化方法在此并不适用.利用非光滑优化方法可以很好地解决该问题并得出其有效前沿.更多还原

【Abstract】 The risk was weighted with a risk function called HT ∞(X),and the corresponding portfolio optimization model was further formulated as a new bi-criteria problem.Equilibrium relations reflected by the model can turn to be a base for investors’ making portfolio decision.The risk function is nondifferentiable,so the traditional optimization method cann’t be applied to.By nonsmooth optimization method the problem was solved and the efficient frontier of the problem was obtained.更多还原