摘要
讨论了卖空条件下,按卖空中股价比例收取成本费用的证券投资基金投资组合选择问题,提出了有卖空成本、考虑基金管理人风险偏好的证券投资基金投资组合选择最优化模型,求出了最优解的解析表达式及其有效边界。在此基础上,结合模型的有效边界及相应的置信水平对模型最优解存在条件进行了分析并提出了相关定理。最后,进行了算法释例。
We discussed the problem of portfolio selection for mutual fund when the cost of short selling is proportional to the price of stock.Furthermore,a portfolio selection model for mutual fund is presented combining with cost of short selling and investors＇risk preference.The properties of existence of the optimal solution and the effective frontier of the model were discussed.Finally,an illustrative example was provided.
出处
《系统管理学报》
北大核心
2009年第3期291-296,308,共7页
Journal of Systems & Management
基金
中国博士后科学基金资助项目(20080441172)
关键词
证券
基金
卖空
有效边界
成本
stock
mutual fund
short selling
effective frontier
cost
