%0 Journal Article
%T Research on Portfolio Investment Model Under the E-Sh Risk Measure<br>有关风险测度及组合证券投资模型研究
%A ZHANG Xi-bin
%A RONG Xi-min
%A ZHANG Shi-ying
%A <br>张喜彬
%A 荣喜民
%A 张世英
%J 系统工程理论与实践
%D 2000
%I 
%X Markowitz introduces the variance of marketable security's revenue rate as the investment risk measure, and constructs portfolio investment model to perform the selection procedure of an optimal portfolio. This paper analyses the shortcomings of Markowitz model, provides the risk goal function for the optimal portfolio selection, and constructs portfolio investment decision model. The paper also presents the solution of optimization model and the determination method of the portfolio efficient frontier. In the end, the paper elaborates the effectiveness of the risk goal function and the optimization model in the application research with a practical example.
%K E\|Sh risk measure
%K risk goal function
%K efficient frontier<br>E-Sh风险测度
%K 风险目标函数
%K 有效边界
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=2BC2939227370F65&yid=9806D0D4EAA9BED3&vid=A04140E723CB732E&iid=9CF7A0430CBB2DFD&sid=2A8D03AD8076A2E3&eid=BC12EA701C895178&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=28&reference_num=0