摘要
针对 Markwitz证券组合投资理论进行了阐述即投资者进行决策时总希望用尽可能小的风险获得尽可能大的收益 ,或在收益率一定的情况下 ,尽可能降低风险 .首先详细的讨论了在投资于两种证券情况下随着相关系数的变化而引起的投资组合有效前沿的不同情况 ,而后针对投资于 n种证券情况下综合分析了允许卖空条件下证券组合前沿的构成和性质 .
The Markwitz Portfolio model is set forth in this thesis. That is, when the investors are making decision, they always hope to obtain maximize yield instead of minimize venture, we also say that the investors often do their best efforts to reduce venture under the condition of definite yield. First, we discuss the different complexions of portfolio efficient frontier along with the changes of some mutuality coefficient under the condition of investing two kinds of portfolio. Furthermore, we investigate the structure and the property of the portfolio frontier with short selling aim at investing N kinds of portfolio.
出处
《数学的实践与认识》
CSCD
北大核心
2004年第7期19-23,共5页
Mathematics in Practice and Theory
基金
国家重点科技攻关项目 ( 97-5 62 -0 3 -0 1)
关键词
证券投资组合
有效前沿
最优策略
预期收益
卖空
portfolio model
short selling
efficient frontier
optimum strategy
expected profit
