DocumentCode
2217354
Title
Empirical Analysis of Investment Portfolio Based on Bi-objective
Author
Yan, Shen ; Xin, Wang
Author_Institution
Sch. of Econ. & Manage., Xi´´an Univ. of Technol., Shannxi, China
Volume
1
fYear
2010
fDate
26-28 Nov. 2010
Firstpage
233
Lastpage
236
Abstract
Guided by H.M.M. Markowitz portfolio theory, this paper postulates that the security market permits or prohibit short sale. Then based on the bi-objective of the maximal return at minimal risk, this paper sets up the investment utility function through linear weighted sums method, and makes first derivation about the function by method of Lagrange multiplier and determines the vector of investment proportion.
Keywords
investment; utility theory; H.M.M.Markowitz portfolio theory; Lagrange multiplier; investment portfolio; investment proportion; investment utility function; linear weighted sums method; security market; H.M.M.Markowitz portfolio theory; investment utility function; portfolio model; vector of investment proportion;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering (ICIII), 2010 International Conference on
Conference_Location
Kunming
Print_ISBN
978-1-4244-8829-2
Type
conf
DOI
10.1109/ICIII.2010.62
Filename
5694391
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