中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Portfolio selection theory with different interest rates for borrowing and lending

文献类型:期刊论文

作者Zhang, SM; Wang, SY; Deng, XT
刊名JOURNAL OF GLOBAL OPTIMIZATION
出版日期2004
卷号28期号:1页码:67-95
关键词different interest rates for borrowing and lending Kuhn-Tucker condition portfolio selection quadratic program
ISSN号0925-5001
英文摘要This paper considers the portfolio selection problem with different interest rates for borrowing and lending. The portfolio frontier is described under the general condition that the riskless borrowing rate is higher than the riskless lending rate.
WOS研究方向Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000186984200005
出版者KLUWER ACADEMIC PUBL
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/506]  
专题中国科学院数学与系统科学研究院
通讯作者Zhang, SM
作者单位1.Univ Western Ontario, Dept Econ, London, ON N6A 5C2, Canada
2.Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China
3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
4.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714
Zhang, SM,Wang, SY,Deng, XT. Portfolio selection theory with different interest rates for borrowing and lending[J]. JOURNAL OF GLOBAL OPTIMIZATION,2004,28(1):67-95.
APA Zhang, SM,Wang, SY,&Deng, XT.(2004).Portfolio selection theory with different interest rates for borrowing and lending.JOURNAL OF GLOBAL OPTIMIZATION,28(1),67-95.
MLA Zhang, SM,et al."Portfolio selection theory with different interest rates for borrowing and lending".JOURNAL OF GLOBAL OPTIMIZATION 28.1(2004):67-95.

入库方式: OAI收割

来源:数学与系统科学研究院

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