http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
線型計劃法(LㆍP)과 目標計劃法(GㆍP)를 利用한 포오트폴리오 選擇모델에 관한 硏究
金元基,具本鏞 啓明大學校 産業經營硏究所 1988 經營經濟 Vol.21 No.1
A well defined theoretical structure for portfolio analysis has existed since 1952. According to Markowitz, and as summarized by Sharpe, the process of portfolio selection should be approached by (1) making probabilistic estmates of the future performance of securities, (2) analzing those estimates to determine an efficient set of portfolios and (3) selecting from the set that the portfolio best suited to the investor's preference. Sharpe developed L.P model and Reback & Store extended this model. The attractiveness of the Sharpe model lies in its relative ease of computation and the fact that it is close to the Markowitz model in its choice of portfolios with high expected return. The idea of G.P was first suggested by Charnes and Cooper and the details of the technique were further studied by Itiri Goal programming is a special type of linear programming. Lee and Lerro developed portfolio selection model by using G.P. The object of this study lies in to investigate portfolio selection by using L.P and G.P model and to select optimal portfolio by using Lintner's cotangent model. The applicability of L.P and G.P model in portfolio selection may be studied by pirical research.