马科维茨有效边界理论的实证分析

Analysis of Markowitz′s portfolio efficient frontier

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.