These two problems, which have not been studied by now, have a close relationship with efficient subset for portfolio selection provided by Shi Shuzhong and Yang lie.
这两个问题跟史树中和杨杰提出的证券组合选择的有效子集密切相关,目前还没有人研究过。
参考来源 - 证券选择的多元化问题研究·2,447,543篇论文数据,部分数据来源于NoteExpress
当协方差矩阵非正定时,要么存在套利机会,要么存在有效子集(即有多余的证券存在)。
We concluded that the covariance matrix is nonpositive definite, there is either arbitrage opportunity or efficient subset.
本文通过引入证券价格,讨论一般证券集组合前沿的分类,并据此直接证明判定某个证券子集是全集的有效子集的一个充要条件。
Introducing prices of securities, this paper classifies general securities sets by portfolio frontier and then a direct proof for a determinant theorem about Efficient Subset is obained.
有效集必须是允许集的子集。
The effective set must always be a subset of the permitted set.
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