允许卖空和不允许卖空的证券组合优化分析

Analysis of Portfolio Optimization under Short-selling and No Short-selling

基于马柯维茨的经典均值-方差模型,讨论了在允许卖空和不允许卖空两种情况下,证券组合优化问题。利用Matlab软件,对包含无风险资产和不包含无风险资产的证券组合进行了实证分析。结果表明,允许卖空有利于投资者的收益实现和证券市场的健康发展,引入卖空机制将是我国股市未来发展的必然趋势。

Based on Markowitz＇s classical Mean- Variance model, we discussed the portfolio optimization under short-sellinz and no short - selling, and analyzed portfolios containing risk- free asset and without risk- free asset by Matlab. The results showed that short- selling has advantages on investors＇ profit and healthy development of security market, and short- selling mechanism will be surely the trend of China＇ s stock market in the future.