英文标题：
《Risk minimization and portfolio diversification》
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作者：
Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
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最新提交年份：
2014
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英文摘要：
We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the portfolio and a financial index is imposed. The optimal portfolio is obtained in closed form. The effects of the correlation constraint are explored; it turns out that this portfolio constraint leads to a more diversified portfolio.
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中文摘要：
我们考虑在Black-Scholes环境下最小化风险资本的问题。考虑到投资组合与金融指数之间存在相关性约束的可能性，研究了投资组合问题。以封闭形式得到最优投资组合。探讨了相关约束的影响；事实证明，这种投资组合约束导致投资组合更加多样化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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