뗚14뻭ꆡ뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ,쓪ꆡꆡ4퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ훐맺맜샭뿆톧ChineseJournalofManagementScienceApr.,ꆡ2006컄헂뇠뫅:1003-207(2006)02-0007-05쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍벰웤탽쯣램퇐뺿헅ꆡ열1,헅훒2,퓀뎬풴1(1.뮪훐뿆벼듳톧쾵춳릤돌퇐뺿쯹,뫾놱커몺ꆡ430074;2.커몺샭릤듳톧맜샭톧풺,뫾놱커몺ꆡ430070)햪ꆡ튪:놾컄쳡돶쇋쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍,춨맽뇤솿쳦뮻붫룃쒣탍뇤캪튻냣쿟탔맦뮮컊쳢,듓뛸퓋폃쿟탔맦뮮뗄탽쯣램뷸탐쟳뷢ꆣퟮ뫳,컄헂틔튻룶뻟쳥뗄쯣샽퇩횤쇋룃쯣램뗄폐킧탔,늢횤쏷붫쿞훆탔싴뿕틽죫떽춶ퟩ뫏훐,폐훺폚퓶잿쫐뎡킧싊,붵뗍쫐뎡럧쿕ꆣ맘볼듊:춶ퟩ뫏;뻹횵-냫뻸뛔욫닮;쿞훆탔싴뿕;탽쯣램훐춼럖샠뫅:F830ꆡꆡꆡ컄쿗뇪쪶싫:A1ꆡ틽퇔2ꆡ쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ춶ퟩ뫏쫇럖즢춶럧쿕뗄폐킧춾뺶ꆣ쏀맺뺭뫏쒣탍볃톧볒Markowitz쳡돶쇋뻹횵-랽닮(M-V)쒣탍,ꆡꆡ캪쇋쳖싛컊쳢뗄랽뇣,컒쏇퓚컄훐늻뾼싇붻틗뷒쪾쇋죧뫎퓚튻뚨쫕틦싊쮮욽쿂쪹춶ퟩ뫏뗄럧쿕돉놾뫍쮰쫕,늢볙짨닺컞쿞뿉럖ꆣ짨폐n훖닺ퟮ킡\[1,2\]ꆣ룃쒣탍믱뗃쇋샭싛뷧뫍쪵볊춶헟뗄믹뿉릩톡퓱ꆣ춶헟춶쿲뗚j훖닺뗄뇈샽쾵쫽캪xj놾죏춬,춬쪱튲틽웰쇋튻킩헹틩ꆣ죧헢샯뗄랽닮볈(j=1,2,ꆭ,n),x1+x2+ꆭ+xn=1캪놾냼몬쇋뿉쓜퓢쫜뗄쯰쪧,튲냼몬쇋뿉쓜믱뗃뗄뎬뛮풤쯣풼쫸ꆣ뗚j훖닺t쪱웚뗄쫕틦싊캪r(jtj=1,쫕틦,뛸뎬뛮쫕틦뛔춶헟살쮵늢늻쫇럧쿕;M-V2,ꆭ,n;t=1,2,ꆭ,T),뗚j훖닺뗄욽뻹쫕틦쒣탍뛔닺쫕틦싊돊뛔돆럖늼뗄튪쟳폐뫜듳뗄뻖쿞탔뗈ꆣ퓚듋믹뒡짏싊캪rj=1r(TꇆTjtj=1,2,ꆭ,n)ꆣ춶ퟩ뫏쫕틦,쳡돶쇋뻹횵-냫t=1뻸뛔욫닮쒣탍늢닉폃웴랢쪽쯣램쟳뷢\[3,4\]ꆣ헔헪폱뫍얷퇴쇮쓏퓋폃짏몣50횧막욱뢴좨볛뗄쫽뻝퇩횤싊캪rp=ꇆnrjxjꆣ폃J0뫍J1럖뇰뇭쪾뷨죫닺뗄j=1쇋믹폚뻹횵-냫뻸뛔욫닮뗄춶ퟩ뫏폅폚M-V쿂뇪벯뫍듻돶닺뗄쿂뇪벯,퓲폐xj<0{jꇊJ0},춶ퟩ뫏\[5\]ꆣ떫헢킩퇐뺿뮹폐튻킩쪵볊틲쯘캴볓xjꇝ0{jꇊJ1},웤훐J0ꇈJ1={1,2,ꆭ,n},뾼싇ꆣ죧퓚랢듯횤좯쫐뎡짏,쿞훆탔싴뿕쫇퓊탭뗄,J0ꇉJ1=ªꆣ짨뷨죫뷰폫ퟜ뷰뗄뇈샽늻뎬맽죧뷨죫뷰폫ퟜ뷰뗄뇈샽늻뎬맽튻룶좷뚨뗄횵,k,kꇝ0ꆣ떱k=0쪱,뇭쪾닺늻퓊탭싴뿕ꆣ평닺붻틗솿뻟폐짏쿂뷧쿞훆뗈ꆣ놾컄쓢퓚짏쫶퇐뺿xj=1,뿉뗃kꇝ뗄믹뒡짏ꇆꇆ|xj|ꆣ틲캪ꇆxj=1-jꇊJꇈ,붫쿞훆탔싴뿕뗄풼쫸쳵볾틽죫떽뻹횵JjꇊJjꇊJ-0100냫뻸뛔욫닮춶ퟩ뫏쒣탍훐,늢퓋폃쿟탔맦뮮뗄탽ꇆxj,쯹틔1+kꇝꇆxjꆣ틲듋,ꇆ|xj|ꇜ1+쯣램뷸탐쟳뷢ꆣjꇊJjꇊJjꇊJꇈJ11012k,벴ꇆn|xj|ꇜ1+2kꆣ헢뇭쏷뷨죫뷰뻟폐튻뚨j=1쫕룥죕웚:2005뗄ퟜ솿쿞훆ꆣ-09-10;탞룄죕웚:2006-03-20믹뷰쿮쒿:맺볒ퟔ좻뿆톧믹뷰훺쿮쒿(70471077)냫뻸뛔욫닮(semi-absolutedeviation)쫇횸춶ퟷ헟볲뷩:헅열(1975-),쓐(몺ퟥ),뮪훐뿆벼듳톧쾵춳릤돌퇐뺿쯹늩쪿퇐뺿짺,훐쓏닆뺭헾램듳톧탂뮪뷰죚놣쿕톧ퟩ뫏뗄쪵볊쫕틦싊뗍폚욽뻹쫕틦싊뗄뻸뛔횵,웤풺붲쪦,퇐뺿랽쿲:ퟮ폅뮯샭싛폫랽램ꆢ춶럖컶폫맜샭쫽톧뇭듯쪽캪ꇤxt=ꦦmin{0,ꇆn(rjt-r)jxj}ꦦ,.j=1' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆤ8ꆤ훐맺맜샭뿆톧ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪퓲쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍ꇤ캪xtꇝ-ꇆn(r(jt-r)jyj-z)jꆡt=1,2,ꆭ,Tj=1ꇤmxtꇝ0ꆡt=1,2,ꆭ,TinꇆTmin{0,ꇆn(rjt-r)jxj}t=1j=1ꇆnꇆnrj(yj-z)jꇝr0rj=1jxjꇝr0j=-ꇆn(y)j+zjꇝ-(1+2k)j=ꇆn|xj|ꇜ1+2ks(1)j=1x1+x2+ꆭ+xn=1ꇆn(yj-z)j=1j=1|xj|ꇜujꆡj=1,2,ꆭ,n퓚쒣탍(1)훐,뗚튻룶풼쫸쳵볾뇭쪾춶헟뗄0ꇜyj,zjꇜujꆡj=1,2,ꆭ,n웚췻쫕틦싊폐튻룶ퟮ뗍뇪ힼ,튲뻍쫇춶헟폐쒳룶(2)쓜릻뷓쫜뗄ퟮ뗍쫕틦싊r0ꆣ뗚뛾룶풼쫸쳵볾뇭쪾룷듋쪱,쒣탍(2)쫇튻룶쿟탔맦뮮컊쳢,뿉폃쿟탔훖닺뗄춶뇈샽뗄뻸뛔횵뗄뫍늻뎬맽맦뮮뗄탽쯣램뷸탐쟳뷢ꆣ1+2k,튲뻍쫇쮵뷨죫뷰뻟폐튻뚨뗄ퟜ솿쿞훆ꆣ뗚죽룶풼쫸3ꆡ쿟탔맦뮮뗄탽쯣램뗄튪뗣벰볆쯣늽훨쳵볾캪놾풤쯣풼쫸,벴룷닺춶뇈샽횮뫍캪1ꆣ뗚쯄룶풼쫸쳵볾뇭쪾뗚퓚쒣탍(2)훐뇤솿뗄룶쫽폐2n+j훖닺뗄춶뇈샽뻟폐튻T,풼쫸쳵볾뚨뗄짏쿂뷧쿞훆,짏쿂뷧쿞훆뗄뻸뛔횵쫇ujꆣ평듋폐4n+2T+3룶ꆣ떱늻뾼싇닺뻟폐짏뷧쿞훆쪱,뿉볻풼쫸쳵볾복짙캪2n+T+3룶ꆣ(늻)뗈쪽뗄쾵쫽쿲,쒣탍(1)뗄뺭볃몬틥벴쫇횸,퓚싺ퟣ짏쫶쯄룶풼쫸쳵볾뗄잰쳡쿂,춶헟펦죧뫎럖엤룷훖닺솿캪gi=((r1i-r1),(r2i-r2),ꆭ,(rni-rn),,쪹춶ퟩ뫏뗄냫뻸뛔욫닮(럧쿕)ퟮ킡ꆣ-(r1i-r1),-(r2i-r2),ꆭ,-(rni-rn),0,ꆭ,1,ꆭ,0),i=1,2,ꆭ,T,gT+1=(r1,r2,ꆭ,rn,떱ꇆnꇤ(r)jt-rjxjꇝ0쪱,x-rt=1,-r2,ꆭ,-rn,0,0,ꆭ,0),gT+2=(-1,j=1-1,ꆭ,-1,-1,-1,ꆭ,-1,0,0,ꆭ,0),min{0,ꇆn(rjt-r)jxj}=0,쿔좻ꇤxtꇝ-ꇆn(rjtgT+3=(1,1,ꆭ,1,-1,-1,ꆭ,-1,0,0,ꆭ,j=1j=1nꇤ0)ꆣbi캪풼쫸쳵볾폒뇟뗄쾵쫽,i=1,ꆭ,T+3,wij-r)(jxj;떱ꇆrjt-r)jxjꇜ0쪱,xt=j=캪g1i뗚j룶럖솿,j=1,ꆭ,2n+Tꆣ헫뛔쒣탍(2),쿟탔맦뮮뗄탽쯣램뗄믹놾늽훨min{0,ꇆn(rjt-r)jxj}=-ꇆn(rjt-r)jxj,쿔j=1j=1죧쿂[6,7]:좻ꇤ늽훨1돵쪼늽훨ꆣ짨c=(0,0,ꆭ,0,1,1,xtꇝ0ꆣꇆTmin{0,ꇆn(rjt-r)jxj}뗈볛폚틔t=1j=1ꆭ,1),평폚cjꇝ0(j=1,2,ꆭ,2n+T,)쟒듦퓚쿂솽쪽,벴:yj,zjꇝ0(j=1,2,ꆭ,n)뫍ꇤxtꇝ0(t=1,ꆭ,mꇤinꇆTxT)뗄풼쫸,틔yj,zjꇝ0(j=1,2,ꆭ,n)뫍ꇤxtꇝtt=1n0(t=1,ꆭ,T)캪돵쪼믹놾늻뗈쪽,ej쫇2n+T캬ꇤx(tꇝ-ꇆrjt-r)jxjꆡt=1,2,ꆭ,T떥캻쿲솿뗄뗚j룶럖솿,ej캪돵쪼쿲솿ꆣ웤폠뗄풼쫸j=ꇤxtꇝ쫇럇믹늻뗈쪽믲럇믹뗈쪽,쯼쏇뗄쾵쫽쿲솿쫇럇믹0캪쇋좥뗴쒣탍쿲솿ꆣ(0)z=(0,ꆭ.,0,0T)캪돵쪼믹뷢,gi뗄욫닮(1)풼쫸쳵볾뗄뻸뛔횵,짨yi=ꛒ(0)i=giz-bi=0(i=1,2,ꆭ,T),ꛒT+1=(|xi|+x)i/2,zi=(|x)i|-xi/2,퓲쒣탍(1)뿉틔뇤캪쒣탍()g00)T+1z-r0=-r0,ꛒT+2=(gT+2z+1+2k=(2):1+2k,ꛒ(0)T+3=gT+3z-1=-1,쇐돶뇭1쯹쪾minꇆTꇤxtt=뗄돵쪼뇭ꆣ1늽훨2풤뒦샭ꆣ뺡뿉쓜붫쯹폐럇믹뗈쪽풼쫸뮻돉믹뗈쪽ꆣ폃I0,I1,I2,I3럖뇰뇭쪾믹뗈쪽,믹늻뗈쪽,럇믹늻뗈쪽,럇믹뗈쪽뇠뫅벯ꆣgT+3캪뗈쪽쾵쫽' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뗚2웚ꆡꆡꆡꆡꆡꆡꆡ헅열뗈:쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍벰웤탽쯣램퇐뺿ꆤ9ꆤ쿲솿cjw(T+3)jꇝ0},틔e1돶믹,틔gT+3죫믹c1,w=m,틔13캪쫠훡풪쯘뷸탐튻in{(T+3),1w|(T+3)j듎탽퓋쯣늢붫gT+3쯹퓚뗄쇐즾돽ꆣ뇭1ꆡ돵쪼뇭e1ꆭenen+1ꆭe2ne2n+1ꆭe2n+Tꛒic0ꆭ00ꆭ01ꆭ1g1r11-r1ꆭrn1-rn-(r11-r1)ꆭ-(rn1-rn)1ꆭ00ꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭꆭgTrnT-r1ꆭrnT-rn-(rnT-r1)ꆭ-(rnT-rn)0ꆭ10gT+1r1ꆭrn-r1ꆭ-rn0ꆭ0-r0gT+2-1ꆭ-1-1ꆭ-10ꆭ01+2kgT+31311-1ꆭ-10ꆭ0-1ꆡꆡ늽훨3훷뗼듺ꆣ뷸탐럇믹늻뗈쪽폫믹늻뗈쪽뗄틔wrs캪쫠훡풪쯘뷸탐튻듎탽퓋쯣,쇮I2:=붻뮻ꆣI2\{r}ꇈ{s},I1:=I1\{s}ꇈ{r},(i)(i)죴쯹폐럇믹쿲솿욫닮캪뢺,볆쯣ui-ꛒi,죴4ꆡ쯣샽(a)쯹폐ui-ꛒi럇뢺,퓲춣횹퓋쯣,죴(b)쒳룶믲쒳킩ui-ꛒi캪뢺쫽,퓲쿲(ii);럱퓲놾컄뷨본컄쿗\[8\뗄]쫽뻝,죧뇭2쯹쪾ꆣ짨퓚춶(ii)틔튻룶욫닮ퟮ킡쟒캪뢺쫽뗄럇믹쿲솿죫ퟩ뫏훐쎿훖닺뗄춶뇈샽늻뎬맽,늢쟒뷨믹,짨웤캪ꛒr,rꇊI2,죧맻쯹폐jꇊI1폐wrjꇜ0,죫닺뗄뷰폫ퟜ뷰뗄뇈샽k=1/2ꆣ떱춶헟퓲컞뿉탐뷢,춣횹볆쯣ꆣ럱퓲틔믹늻뗈쪽es돶믹,늢쓜릻뷓쫜뗄ퟮ뗍쫕틦싊r0좡늻춬뗄횵ꆢ싺ퟣꆢꆢꆢꆢ뫍=m쪱,쟳뻹횵-냫뻸뛔욫닮춶ퟩ뫏뗄ퟮ폅춶뇈샽ꆢin{|wrjꇝ0,jꇊI1}rswrj웚췻쫕틦싊뫍냫뻸뛔욫닮ꆣ뇭2ꆡ쇹훖횤좯퓚냋쓪뗄쓪쫕틦싊쫽뻝붻틗쪱웚12345678횤좯횤좯횤좯횤좯횤좯횤좯뷢:룹뻝뇭2,쟳돶쎿튻훖횤좯쫕틦싊뗄쯣쫵욽뻹쫽,죧뇭3쯹쪾:뇭3ꆡ횤좯쫕틦싊뗄쯣쫵욽뻹쫽횤좯123456욽뻹쓪쫕틦싊ꆡꆡ퓋폃짏쫶쿟탔맦뮮뗄탽쯣램,볆쯣돶떱r0럖뫍쪱뗄ퟮ폅춶닟싔,죧뇭4쯹쪾ꆣ뇰캪ꆢꆢꆢꆢꆢ뇭4ꆡ쿞훆탔싴뿕쪱뻹횵-냫뻸뛔욫닮춶ퟩ뫏뗄ퟮ폅춶닟싔ퟮ폅춶뇈샽(' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆤ10ꆤ훐맺맜샭뿆톧ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ2006쓪ꆡꆡ듓뇭4뿉횪,뻟폐쿞훆탔싴뿕쪱,뛔폚튻룶춶ퟩ뫏웚췻쫕틦싊쯹뛔펦뗄ퟮ폅춶닟싔ꆣퟩ뫏뗄웚췻쫕틦싊캪뗄춶헟살쮵,쯻뛔잰틔뇭4훐뗄웚췻쫕틦싊rp캪뫡ퟸ뇪,냫뻸뛔욫컥훖닺뗄ퟮ폅릺싲뇈샽펦럖뇰캪%ꆢ닮캪ퟝퟸ뇪,뿉틔뗃떽쿞훆탔싴뿕쪱춶ퟩ뫏뗄폐%ꆢ%ꆢ%뫍%,뛸뛔뗚쇹훖킧잰퇘,죧춼1쯹쪾ꆣ닺,퓲펦싴뿕%ꆣ춬퇹,튲뿉틔뗃떽웤쯼춶춼1ꆡ쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏뗄폐킧잰퇘ꆡꆡ듓춼1뿉틔뾴돶,쿞훆탔싴뿕뗄뻹횵-냫뻸뛔듓춼1뮹뿉틔뾴돶,춶ퟩ뫏뗄냫뻸뛔욫닮(럧욫닮춶ퟩ뫏뗄폐킧잰퇘쫇튻뛎업돽쇋웚췻쫕틦싊쿕)쯦ퟅ웚췻쫕틦싊뗄퓶볓뛸퓶볓ꆣ떱웚췻쫕틦싊맽킡뫍맽듳쪱뗄쟺쿟ꆣ퓚볆쯣훐,컒쏇랢쿖,떱r0킡폚믲뗈폚쪱,춶ퟩ뫏뗄냫뻸뛔욫닮폫웚좡훁횮볤죎뫎쫽쪱,춶ퟩ뫏뗄웚췻췻쫕틦싊벸뫵돊쿟탔몯쫽맘쾵ꆣ떱웚췻쫕틦싊듳폚쫕틦싊뚼쫇,튲뻍쫇쮵폐킧춶ퟩ뫏뗄ퟮ킡쪱,냫뻸뛔욫닮(럧쿕)듳럹뛈퓶볓,튲뻍쫇쮵웚췻쫕틦싊캪ꆣ떱r0듳폚쪱,춶ퟩ떱춶헟뗄웚췻쫕틦싊듳폚쒳룶횵쪱웤쯹돐떣뗄럧뫏쎻폐뿉탐뷢,헢뇭쏷폐킧춶ퟩ뫏뗄웚췻쫕틦싊쿕튲믡듳럹뛈퓶볓ꆣ늻믡뎬맽ꆣ평듋뿉볻,틽죫쿞훆탔싴뿕뗄풼쫸틔뇭4훐뗄웚췻쫕틦싊rp캪뫡ퟸ뇪,닺뗄ퟮ쳵볾뿉틔업돽춶ퟩ뫏훐웚췻쫕틦싊맽킡뫍맽듳폅춶뇈샽캪ퟝퟸ뇪,뿉틔뗃떽웚췻쫕틦싊뫍ퟮ폅(듋쪱럧쿕튲맽듳)뗄쟩뿶,볈놣횤쇋춶헟믱뗃뷏춶뇈샽뗄맘쾵춼,죧춼2쯹쪾ꆣ듳쫕틦,폖뇜쏢쇋춶헟돐떣뷏듳럧쿕ꆣ춼2ꆡ웚췻쫕틦싊뫍ퟮ폅춶뇈샽횮볤뗄맘쾵웤훐,쾵쇐i럖뇰뛔펦뗚i훖닺뗄ퟮ폅춶뇈샽폫늻싺ퟣ솽믹뷰럖샫뚨샭\[5\]ꆣ웚췻쫕틦싊횮볤뗄맘쾵ꆣ듓춼2뿉틔뾴돶,뾼싇쿞훆탔싴뿕쪱,쎿튻훖5ꆡ뷡싛닺뗄ퟮ폅춶뇈샽폫웚췻쫕틦싊횮볤늢늻돊쿖퇏룱놾컄쳡돶쇋쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶뗄쿟탔맘쾵,폈웤쫇뗚죽닺뫍뗚컥훖닺,웤ퟮ폅ퟩ뫏쒣탍ꆣ룃쒣탍늻튪쟳쫕틦싊돊뛔돆럖늼,뻟춶뇈샽폫웚췻쫕틦싊횮볤돊쿖ퟅ퇏룱뗄럇쿟탔몯폐뫜잿뗄쫊폃탔ꆣ뛸쟒붫쿞훆탔싴뿕틽죫떽춶ퟩ쫽맘쾵ꆣ틔뗚죽훖닺캪샽,떱웚췻쫕틦싊퓚뫏쒣탍훐,폐훺폚퓶잿쫐뎡킧싊,붵뗍쫐뎡럧쿕ꆣ뫍횮볤쪱,ퟮ폅춶뇈샽쯦ퟅ웚췻쫕틦싊뗄폫떥뒿탎램쿠뇈,놾컄닉폃뗄쿟탔맦뮮뗄탽퓶볓뛸퓶볓;떱웚췻쫕틦싊퓚뫍횮볤쯣램뇜쏢쇋춨뎣쯹탨뗄쯉돚뇤솿ꆢ쪣폠뇤솿뫍죋릤쪱,ퟮ폅춶뇈샽믹놾늻뇤뮯;뛸떱웚췻쫕틦싊듳폚뇤솿\[9\],쪹볆쯣솿룼짙,닙ퟷ룼캪볲뇣,볆쯣킧싊튲쪱,ퟮ폅춶뇈샽쯦ퟅ웚췻쫕틦싊뗄퓶볓랴룼룟,폐뷏캪맣삫뗄펦폃잰뺰ꆣ뛸복킡ꆣ평듋뿉볻,폫쎻폐붻틗솿쿞훆뗄쟩뿶늻춬,뛔폚춶헟살쮵,놾컄뗄랽램뻟폐솼뫃뗄뿉닙뻟폐쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍ퟷ탔뫍쪵폃볛횵ꆣ춨맽탽쯣램뫍ퟔ뇠돌탲뿉틔뫜' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뗚2웚ꆡꆡꆡꆡꆡꆡꆡ헅열뗈:쿞훆탔싴뿕뗄뻹횵-냫뻸뛔욫닮춶ퟩ뫏쒣탍벰웤탽쯣램퇐뺿ꆤ11ꆤ뿬뗘볆쯣돶춶ퟩ뫏뗄폐킧잰퇘,춶헟뿉틔룹뻝뛔짏몣막쫐쪵횤퇐뺿\[J\]훐.맺맜샭뿆톧,2004,12(1):ퟔ벺뗄럧쿕욫뫃퓚폐킧잰퇘훐톡퓱ퟮ폅춶닟싔ꆣ20-23.\[6\]헅훒.춹맦뮮-춶ퟩ뫏폫췸싧폅뮯뗄탽쯣램닎뾼컄쿗:\[M\]커.몺듳톧돶냦짧,2004.\[7\]헅열,헅훒,퓀뎬풴.믹폚킧폃ퟮ듳뮯뗄춶ퟩ뫏탽\[1\]\[J\].TheJournalofF2i쯣램퇐뺿\[J\]닆.뺭퇐뺿,2005,(12):,1952,7:77-91.\[2\]MarkowitzH\[8\]쇵짆듦,췴쫙퇴,쟱?뮪.튻룶횤좯ퟩ뫏춶럖컶뗄뛔.Portfolioselection:Efficientdiversification닟싛랽램\[J\]쾵.춳릤돌샭싛폫쪵볹,2001,(5):\[M\].()1BasilBlackwall,N\[9\]잮쯌뗏.퓋돯톧(탞뚩냦)\[M\]놱.뺩:쟥뮪듳톧돶냦짧,ewYork,.\[3\]\[10\]췵뒺럥,췀탂쫯,샷뇳.킧폃몯쫽틢틥쿂춶ퟩ뫏폐킧optimization\[J\].TheJournalofFinance,1993,14:107-톡퓱컊쳢뗄퇐뺿\[J\]훐.맺맜샭뿆톧,2002,10(2):.\[4\]\[11\]짲킡뒺,킻뛘샱.믹폚럧쿕볆솿횸뇪뗄횤좯ퟩ뫏춶뗄izationmodelappliedtotheMilanstockmarket\[J\].Com2쫽톧쒣탍벰웤펦폃\[J\]훐.맺맜샭뿆톧,2001,9(3):,2004,223(5):433-441.\[5\]헔헪폱,얷퇴쇮쓏.믹폚ퟩ뫏춶쒣탍벰-absoluteDeviationPortfolioSelectionModelwiththeRestrictedShortSellingBasedonthePivotingAlgorithmZHANGPeng1,ZHANGZhong-zhen2,YUEChao-yuan1(,HuazhongUniversityofScienceandTechnology,Wuhan430074,China;,WuhanUniversityofTechnology,Wuhan430070,China)Abstract:,:portfolioselection;meansemi-absolutedeviation;therestrictedshortselling;pivotingalgorithm' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
