开放式基金的单阶段均值-方差模型

A Single-period Mean-variance Model of the Open Fund

基于开放式基金的运行机制,对其最优投资组合问题建立了单阶段均值-方差模型,在赎回准备金有固定的比例的前提下,就是否存在无风险资产的投资进行了讨论,并推导出相应问题的最优解和有效前沿的表达式,同时还给出了含风险和预期收益的权衡参数ω的模型与一般均值-方差模型等价的充分必要条件.

Based on the operating mechanism of the open fund,a single-period mean-variance model is established for selecting optimal portfolios. On the premise that the ratio of surplus assets is fixed, the optimum solutions and the expresses of the efficient frontier of different cases are deduced in terms of whether there are riskless assets. Furthermore the equivalence relation with the model which includes the parameter to weigh the risk and the expected income is discussed.