允许卖空的基于MINIMAX规则的证券组合选择

The short-selling permitted portfolio optimization under a minimax rule

在不允许卖空证券组合选择理论基础上,探讨了基于minimax规则允许卖空的情形.首先介绍了一种新的组合风险度量规则-minimax规则,然后基于此建立起最优选择模型,将此模型转化成可求解的PO(λ)问题,并利用K-T条件得到解析解.此外,鉴于证券组合有效前沿的重要性,我们还着重讨论了本问题的有效前沿,给出了具体形式并举例以实证之.

This paper provides the solution of portfolio selection theory when short-selling is permitted. Via the use of min,max role as a new risk measurement, the related optimal portfolio model is proposed. After it is transformed into the PO（ λ ） problem, its analytical solution is derived by the K-T condition. Furthermore, some properties of the efficient frontier are discussed.