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!