卖空、保证金与最优投资组合

Short Sell,Collateral and Portfolio Selection

本文主要分析单阶段、均值方差框架下,在允许卖空,但有保证金约束的金融市场中,投资者如何构建其最优投资组合的问题。我们提出了上述金融市场中的投资组合优化模型,并用数值例子比较了自由卖空、有保证金约束的卖空与禁止卖空三种情况下的最优投资组合,结果显示,保证金约束卖空下的有效前沿劣于自由卖空下的有效前沿,优于禁止卖空下的有效前沿。

By assuming unrestricted short sale or prohibited short sale, portfolio theory has long neglected the impact of collateral imposed by short sale. The pa- per analyzes how a risk - averse investor choose his or her portfolio under the single - stage, mean - variance framework in stock market which allows short - sale, but requires collateral. Numerical example shows that the efficient frontier of collateralized short sale may not dominate that of unprohibited short sale, but be dominated by that of unrestricted short sale.