企业负债投资的有效边界及其动态性质

Portfolio efficient frontier of company with liabilities and its dynamic properties

讨论在不允许卖空的限制条件下负债企业的组合投资问题,建立了最优组合投资的选择模型,给出了负债企业最优的投资策略以及投资的有效边界,重点研究了有效边界的静态性质,以及当企业的负债发生变化时有效边界和最优投资策略的动态性质.

Under the condition of no short sale, a portfolio selection problem about a company with liabilities is discussed. A optimal portfolio selection model is given. The optimal investment strategies for the company and the investment efficient frontier are presented. Some static characteristics and some dynamic characteristics of the efficient frontier and the optimal strategies varying with debt of the company are studied emphat- ically.