开放式基金的一种优化投资组合

A Kind of Optimal Investment Combination of Open Fund

开放式基金已成为金融市场上最重要的金融中介之一,而且从开放式基金的发展趋势看,未来开放式基金在金融市场上的地位将会继续提升,因此,研究开放式基金的优化问题意义非凡.基于开放式基金的特征,本文用单因素模型分析了开放式基金的投资组合最优化选择问题,给出了单指数模型下允许卖空时的最优解开放式基金.

Open fund has became one of the most important financial intermediaries of the financial markets,and from the development of the trend of open fund,open fund in the financial markets position will continue to ascend in the future.Therefore,the research of optimization about open fund is very important.In this paper,we use the singer index model method to analyze optimum investment combination of the open fund.We get the optimal portfolios when the assets can be short selling.