开放式基金不许卖空情形下的最优投资组合

The Open Fund’s Optimal Portfolio in the Conditions of Short sale

基于开放式基金的运行机制,在各风险资产互不相关的假设下,建立了开放式基金在不许卖空情形下的投资组合模型,并给出了最优解和有效前沿。

Based on the operating mechanism of the open fund, under the assumption that the risk assets are uncorrelated and there is no short sale, the model of the open fund＇ s portfolio is discussed, and the optimal solutions and efficient frontiers are given in this paper.