摘要
以1990年至2003年7个国家股票指数收益率的平均收益、标准差和相关系数为样本,在"允许卖空"时,通过3种方法得到有效边界,并对3种结果进行了比较;在"不允许卖空"条件下,给出其有效边界的算法,最后对"允许卖空"和"不允许卖空"两种情况的有效边界进行了比较,说明"允许卖空"有更大的潜在收益。
In the paper, according to seven countries's stock index expected revenue rate, standard variance and correlation coefficient from 1980 to 1993, the portfolio efficient frontier is given in three methods in short selling being aUowed and three methods are compared. The algorithm of the efficient frontier is given in the condition of denying short selling. Moreover, the portfolio efficient frontiers are compared in short selling being allowed and not meanwhile. Short selling being allowed has the better expected revenue rate.
出处
《陕西理工学院学报(自然科学版)》
2008年第4期85-89,共5页
Journal of Shananxi University of Technology:Natural Science Edition
关键词
投资组合
有效边界
基金分离定理
portfolio
efficient frontiers
two-fund separation theorem