有關portfolio management既問題

2011-02-28 4:07 am
假設有3隻stocks: stock 1同stock 2都係local company, 而stock 3係foreign company

而家有3個constraints:
#1
the stock exchange has capped the short selling of each of stocks of local firm at 50% of an individual's wealth in the stock market
#2
invest no less than 10% of risky wealth in stock 3
#3
hold at least 80% of risky wealth in stocks of the local companies because a investor is not familiar with the foreign firm

咁我依家想construct一個有risky asset同risk-free asset 既portfolio...
咁suppose有y% invest in risky asset....於risky portfolio中:w1,w2,w3係invest in stock 1,2,3既百分比

咁根據constraint1, 係咪代表w1*y>=-50%同w2*y>=-50%
咁根據constraint2, 係咪代表w3>=10%
咁根據constraint3, 係咪代表w1+w2>=80%

想問下各位我以上既想法正唔正確?? 感激各位!

回答 (2)

2011-02-28 7:17 pm
✔ 最佳答案
#1, (W1*Y+W2*Y)>=-50%
#2 W3>=10%*Y
#3 W1+W2>80%*Y
2011-03-01 3:56 pm
您好, 我推薦您一個關于股市投資與個人理財的資源網站,上面有很多很不錯的資源,肯定會對您有所幫助。

http://www.hkstock.info

祝你事業發發


收錄日期: 2021-04-22 00:53:06
原文連結 [永久失效]:
https://hk.answers.yahoo.com/question/index?qid=20110227000051KK01302

檢視 Wayback Machine 備份