融资约束条件下投资组合有效边界研究

Study on the Efficient Frontier of Portfolio under Financing Constraints

在经典的金融投资理论基础上 ,本文考虑了融资约束对投资组合优化的影响。作者引入了资本结构因子 ,研究了其对资产组合有效边界的影响 ,并指出在企业不能任意举债的条件下 ,有效边界将呈非线性关系 ,从而与理想条件下线性有效边界的结论存在差异。

Differing from the classical investment theory, this paper considers the influence of the financing constraints on portfolio selection. Based on the concept of a capital structure factor, the paper discusses the change of the efficient frontier of portfolio. The key conclusion is that the efficient frontier of portfolio under financing constraints is nonlinear.