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在允许持有无风险资产的条件下,在多因素资产组合模型的基础上给出限制资产数目的改进模型,研究了解的存在性,并给出了算法及算例验证其有效性。本文主要论述了限制资产数目的多因素资产组合模型及实证研究,以期为相关研究提供借鉴。
Based on the multi-factor asset portfolio model, an improved model to limit the number of assets is given under the condition that the risk-free assets are allowed to be held. The existence of the solution is studied and an algorithm and an example are given to verify its effectiveness. This paper mainly discusses the multi-factor asset portfolio model and empirical research to limit the number of assets, with a view to providing references for the relevant research.