马克维茨均值-方差模型及应用

294200712JournalofJiningTeachersCollegeVol.29,No.4Dec.2007–(,012000)1009¡7171(2007)04¡0029¡04:¢–::F224.9:A(Markwitz)–1()—()1.1()()()–1.2––:20071020.:(1962-),,,,.30291.3W0u(W0)pW0+h11¡pW0+h2pu(W0+h1)+(1¡p)u(W0+h2):u(W0)pu(W0+h1)+(1¡p)u(W0+h2)u(E˜W)E[u(˜W)];8˜W:u(W0)6pu(W0+h1)+(1¡p)u(W0+h2)u(E˜W)6E[u(˜W)];8˜W:u(W0)´pu(W0+h1)+(1¡p)u(W0+h2)u(E˜W)=E[u(˜W)];8˜W:1.4()–()4–31(1)(2)(3)(4)1.52–2.1A(r)(p)(r)r1r2¢¢¢rn(p)p1p2¢¢¢pnA()EAEA=nåi=1ri£pi()s2As2A=nåi=1[ri¡E(r)]2£pi(A;B)(ri;sj)()pij(i=1;2;:::;n;j=1;2;:::;m)ABsAB=nåi=1måj=1risjpij¡EAEBABrAB=sABsAsB2.2l;2;:::;N,iEis2iijsij(rij)(i=1;2;:::;n;j=1;2;:::;m)iXi,i=1;2;:::;N,X1+X2+¢¢¢+XN=13229rp=X1E1+X2E2+¢¢¢+XNENs2p=Nåi=1Nåj=1XiXJsij;sii=s2i;(rp;sp)(rp;sp)rpspmins2p=Nåi=1Nåj=1XiXJsijs:t:X1+X2+¢¢¢+XN=1X1E1+X2E2+¢¢¢+XNEN=rpXi0;i=1;2;¢¢¢;N:rpsp=s(rp).2.3E=f(s)E=f(s)sp=s(rp)–“”“”[1].[M].:,200021[2],.[M].:,200280»83