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Some Properties for A Portfolio Optimization Model

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Abstract (2. Language): 
Portfolio optimization Problem is to find the securities portfolio min- imizing the risk for a required return or maximizing the return for a given risk level.In this paper, we discuss a portfolio investment model with expected rate of return under non-negative constrains.we proved some properties of the model.Using these properties, the model solving will be simplified.
589-591

REFERENCES

References: 

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[2] D S Qian, Y H Guo,etc. Operations Research[M],Second edition,Tsinghua
University Press,Beijing,China,1990.(Chinese)
[3] M S Bazaraa, C M Shetty.Nonlinear Programming-Theory and Algo-
rithms[M] John wiley and sons1979

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