允许持有无风险资产多因素投资组合模型研究

On Multi-Factor Portfolio Model with Holding of Risk-Free Assets Allowed

在允许持有无风险资产的条件下 ,应用套利定价理论 ,从允许卖空和不允许卖空两个方面 ,对 Markowitz的均值 -方差模型加以改进 ,研究了模型解的存在条件和求解方法 。

When holding risk-free assets is allowed, we use asset pricing theory (APT) to simplify Markowitz′s model for portfolio inverstment and to estabilish the optimal models for two different situations: short sale allowed and short sale not allowed. We use nonlinear programming to study the conditions under which the two solutions corresponding respectively to the two models exist and on condition that the covariance matrix of the securities inside portfolio is positive definite, we study how to solve the two models. We give a no-short-sale-allowed numerical example, whose calculated results show that our new model is effective and feasible.