摘要
在已有的文献中,大都是从管理者角度或在管理者是可以直接控制的前提下研究基于基准证券组合的证券组合投资决策方法的,这些方法对中小投资者来说是不适用的。本文研究中小投资者如何通过控制在基准证券组合、管理者证券组合和无风险资产上的投资比例系数来间接控制管理者,以实现自己的目标。我们首先对M uralidhar(2001)提出的模型进行分析,然后在此基础上,提出了使用基准证券组合调整的证券组合投资决策模型。
The literatures that studied portfolio choice with benchmark mostly assumed that a decision maker is a investment manager, or that a investor can control his investment manager(s). However,those methods are impracticable for investor who isn't heavy with fund . This paper studies how petty investor indirectly controls his investment manager(s) by choosing the proportions invested in the manager's portfolio, the benchmark, and the riskless asset. On the basis of analysing the models in Muralidhar(2001),we put forward a benchmark-adjusted model of portfolio choice .
出处
《当代经济管理》
2005年第2期74-78,共5页
Contemporary Economic Management
基金
国家杰出青年科学基金(项目号:79725002)资助
