目录

利用股票指数简化投资组合模型 

利用股票指数简化投资组合模型 

MODEL:
Title 利用股票指数简化投资组合模型;
SETS:
   STOCKS/A,  B,  C/: u, b, s2, x;
ENDSETS
DATA:
! mean0,s20,u,b,s2是线性回归的结果数据;
mean0=1.191458;
s20 = 0.02873661;
s2  = 0.005748320,0.01564263,0.03025165;
u   = 0.5639761,  -0.2635059,-0.5809590;
b   = 0.4407264,  1.239802,  1.523798;
ENDDATA
[OBJ] MIN = s20*y*y + @sum(stocks: s2*x*x); 
![OB