求解不允许卖空证券组合前沿的区间搜索方法

The interval searching approach for solving portfolio frontier with no short selling

综合分析了不允许卖空时证券组合前沿的构成和性质 ,在此基础上给出了求解不允许卖空时证券组合前沿的区间搜索方法 .应用该方法可以方便迅速地求出带有大型协方差矩阵的非负证券组合前沿及构成前沿的全部抛物的解析式 .

This paper investigates the structure and the property of the portfolio frontier with no short selling, on this basis an interval searching approach for solving portfolio frontier problem with no short selling is put foreword. Portfolio frontier with no short selling together with all of its composing parabolas can be conveniently and rapidly determined. The approach is of important theoretical meaning and practical value for solving portfolio optimization problem with large scale covariance matrix and also useful for putting portfolio theory and its associate methods into practical use.