Optimal Model of Portfolio under Safety-First Criteria and Portfolio Performance Management
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F830.9

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    Abstract:

    We point out the shortage of optimal portfolio model which was suggested by Markowitz in 1952, this theory has been less useful in practice because one must know indifference curves of investors. We propose safety first criteria and get optimal portfolio model under this criteria. Two methods are given to do with probability condition, and we obtain optimal portfolio. At last, we give safety first index to portfolio performance management.

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曹国华 黄薇.安全第一的证券组合优化模型与绩效管理[J].重庆大学学报,2000,23(3):94~96

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  • Received:
  • Revised:August 10,1999
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