本文已被：浏览 1007次 下载 559次
投稿时间：2006-12-05
投稿时间：2006-12-05
中文摘要: 研究了借贷利率不相同的无风险资产存在时的一类机会约束下组合投资问题,求出了它的有效边界并分析了其经济含义,同时得到了最优解的解析表达式,并对有效边界进行了灵敏度分析.
Abstract:The chance-constrained problem with different borrowing or lending interest rates and the riskless security involved is studied. Its efficient frontier is derived and the economic significance is analysed. The analytical expression of optimal solution is obtained. The sensitivity analysis to the efficient frontier is made.
文章编号：20080126 中图分类号： 文献标志码：
基金项目:
| 作者 | 单位 |
| 刘晓娟 | 上海电力学院 数理系, 上海 200090 |
| Author Name | Affiliation |
| LIU Xiao-juan | Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China |
引用文本：
刘晓娟.含无风险资产机会约束下的组合投资及灵敏度分析[J].上海电力大学学报,2008,24(1):97.
LIU Xiao-juan.Portfolio Sensitivity Analysis Under Chance-constrained with Risk Less Security[J].Journal of Shanghai University of Electric Power,2008,24(1):97.
刘晓娟.含无风险资产机会约束下的组合投资及灵敏度分析[J].上海电力大学学报,2008,24(1):97.
LIU Xiao-juan.Portfolio Sensitivity Analysis Under Chance-constrained with Risk Less Security[J].Journal of Shanghai University of Electric Power,2008,24(1):97.