پديد آورنده :
كيخايي، رضا
عنوان :
بهينه سازي سبد سرمايه با وزن هاي متغير
گرايش تحصيلي :
رياضيات كاربردي ﴿رياضيات مالي﴾
محل تحصيل :
اصفهان: دانشگاه صنعتي اصفهان، دانشكده علوم رياضي
صفحه شمار :
دوازده،129ص.: مصور،جدول،نمودار
يادداشت :
ص.ع.به فارسي و انگليسي
استاد راهنما :
محمدتقي جهانديده
تاريخ نمايه سازي :
28/11/91
استاد داور :
بيژن ظهوري زنگنه، فريماه مخاطب رفيعي، حميدرضا مرزبان
كد ايرانداك :
ID489 دكتري
چكيده فارسي :
به فارسي و انگليسي: قابل رويت در نسخه ديجيتالي
چكيده انگليسي :
Abstract In this paper we generalize the single period Markowitz Mean Variance portfolio selection problem The Markowitz s model requires that after choosing the number of each security which constructs the portfolio in the beginning of the investment period these numbers remain constant during and at the end of the investment period We drop this assumption and consider an investment model in which the number of each security can vary randomly during the investment period Indeed we consider a single period investment with the property that the initial weight of each security is not equal to the final weight of that security We redefine the notion of the rate of return of each security and show that the return of the investment in a cash account is not certain We investigate some alternatives among risky securities which acts similar to cash accounts For this we introduce the notion of free security and relate free securities to a riskless security
استاد راهنما :
محمدتقي جهانديده
استاد داور :
بيژن ظهوري زنگنه، فريماه مخاطب رفيعي، حميدرضا مرزبان
