【摘要】 基于Markowitz证券组合投资模型:min（1/2）W^tVW,s·t·W^te=1,W^tE（X）=μ₀,分析方差矩阵V为一般对称矩阵时的情形,本文推广了证券组合投资模型的一个定理,并分类讨论了一般对称方差矩阵对应的证券组合投资模型的最优解,同时给出了求解最优证券组合的方法。更多还原

【Abstract】 In this paper, based on the model of Markowitz’s Portfolio Investment:min（1/2）W^tVW,s.t.W^te=1,W^tE（X）=μ₀,we study the model in which the covariance matrices are general symmetric matrices, get an extension on an important theorem, discuss the solution of the model following two classes of the general symmetric matrices, and give a method for calculating optimal portfolio.更多还原