摘要
本文利用证券市场模型和资本资产定价模型 ( CAPM)简化了不允许卖空的Markowitz的证券组合决策模型 ,导出了不允许卖空的 β值证券组合投资决策模型 。
In this paper, we simplify Markowitz's model for portfolio investment under the condition of no short sale with the help of Market Model and CAPM, present β model for portfolio investment decision under the condition of no short sale, study its solution and its character.
出处
《管理工程学报》
CSSCI
1999年第4期1-4,4,共5页
Journal of Industrial Engineering and Engineering Management
基金
国家杰出青年科学基金!(79725002)
国家自然科学基金!(79670013)资助
