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在对沪市 β 域划分的基础上 ,根据马柯威茨有效组合最优化原理 ,阐述了投资组合虚拟无差异曲线一般模型的求解思路 ,即无论是在允许卖空和非允许卖空条件下均可以从虚拟无差异模型的基本问题出发 ,前者从基本问题的求解即可达到最优组合 ;后者可在基本问题求解的基础上进行二次寻优求得最优组合 .讨论了风险型和保守型投资者的投资组合模型及其求解方法 .给出了基于 β 风险域的投资组合最优化方法的应用例子 .
Based on the division of the β domain in Shanghai stock market, the general idea of portfolio virtual indifference curve is presented according to the principle of efficient combination optimization of Markowitz. That is to say, both the allowable short selling and the non-allowable short selling We can start from the basic problem of the virtual indifference model, the former can reach the optimal combination from the basic problem solving, the latter can find the optimal combination based on the second order optimization based on the basic problem solving.Finally, And the conservative investor’s investment portfolio model and its solution method.The application example of portfolio optimization method based on β-risk region is given.