Research on Liner Programming Models of Portfolio with CAPM Theory as the Basis
Lanfang Cheng · Journal of Luoyang Institute of Science and Technology · 2011
The aim of multi-portfolio is to achieve tradeoffs between decreasing risk and increasing return.Based on the CAPM theory and linear programming,this paper builds up an optimal portfolio model of varied perspectives,and the demonstration is given by the application examples.Then the paper gets to the conclusion that these linear programmed portfolio models,simply and practical,accord perfectly with the investing conception on the part of the investors.So they are of reference values to the investment theory and practical use.