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The Equivalence Property of Return-Risk Models

LAI Min, ZHAO Shi-shun, SONG Li-xin   

  1. Institute of Mathematics, Jilin University, Changchun 130012, China
  • Received:2003-03-25 Revised:1900-01-01 Online:2003-10-26 Published:2003-10-26
  • Contact: LAI Min

Abstract: The equivalence property of two strategies in return-risk models is discussed according to Lagrange’s method of multipliers and Kuh n-Tucker conditions. It is proved that the two optimal portfolios which were sel ected from the strategies are equal provided at least two of the n expected returns are not equal.

Key words: return, risk, Lagrangian functions, Lagrange’s method of multipliers, Kuhn-Tucker conditions

CLC Number: 

  • O212.1