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发表时间： 2009-01-01

发表刊物： 系统工程理论与实践

期号： 10

页面范围： 1-12

ISSN号： 1000-6788

摘要： Putting forward the Maximum principle that the return of all asset portfolio is above 0, taking units of the risk portfolio of the largest expected profit as the objective function and all assets portfolio's expected return above 0 as objective function, optimal decision-making model for incremental portfolio based on the maximum return probability is set up. The contribution and innovation of the model are: Firstly, through the analysis of the central limit theorem, it comes into two conditions: the maximum of the unit risk return probability of all portfolio and all portfolio return above 0, which can produce the maximum of all portfolio probability above 0 during the hedging. Secondly, the return of all the assets of hedging gains the greatest probability is above 0 by identifying new portfolio hedging ratio. By doing this, the problem that how to determine the new hedging ratio ensure the maximum probability of hedging return of total portfolio when the hedging ratio of old portfolio is invariability. Thirdly, by building the function of risk nonlinear addition between the new and old portfolio, the problem of how to ensure the risk of the total portfolio while allocating a new portfolio has solved. The forth, the target of the optimal portfolio take both return and risk factors into account.

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