市场指数模型下最优证券组合的简化算法

The Simplified Algorithms for Determining Optimal Portfolios Based on Market Index Model

研究市场指数模型下最优证券组合的简化算法,扩展了针对预期超额收益—贝塔比率最大化提出的简化算法,并将其应用于确定最小风险证券组合构成、考虑风险容忍度的最优证券组合构成、允许和不允许限制性卖空情况下有效证券组合构成及其变动。

The simplified algorithms for determining optimal portfolios are studied based on market index model, and the general structural properties of efficient portfolios are discussed with restricted short selling being introduced. The simple criterion for expected excess return - to - Beta ratio maximization is extended, and the extended simplified algorithms are applied to determining the composition of the risk - minimized portfolios, the optimal portfolios considering risk tolerance of investers and the efficient portfolios with restricted short sales allowed and not allowed.