存在无风险资产的M-V有效前沿进一步研究

Study on the M-V efficient frontier with non-risk assets

在均值-方差证券选择理论的基础上,引入扰动因子对增加证券数目后原有证券组合间相关性的改变进行了描述,运用代数运算简化模型推导,分析了在市场存在无风险证券且允许卖空条件下受扰动的M-V有效前沿,并且得出了有效前沿发生漂移的结论.为投资者及其投资决策提供了基本的方法和有意义的思路.

In this paper,based on the M-V portfolio selection theory,introduce a parameter about perturbation to subscribe the change of correlation between the former securities as one security increased,by simplifying the initial model with an ingenious algebraic calculation,this paper discussed the efficient frontier of meansvariance portfolio with perturbation under the situation of short sales allowed.And also some conclusions of the efficient frontier of drifting movement are given.Then some basic method and interest thoughts are obtained to portfolio selection theory and investors.