A Study of Mean-LPM Portfolio Model Based on a Better CLPM Algorithm

摘要：

Because existing algorithms calculating LPM of portfolio have some limitations, this article puts forward a better CLPM algorithm to calculate LPM of portfolio. Using this CLPM algorithm, this article deduces portfolio frontier equation of Mean-LPM portfolio model and proves that portfolio frontier of Mean-LPM portfolio model satisfies two funds separation theorem.

关键词： LPM portfolio model portfolio frontier two funds separation

作者: Chengqi Hou Xusong Xu

作者单位: Economics and Management School Wuhan University Wuhan, P. R. China

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 703-708

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）