摘要
研究了不允许卖空条件下含无风险证券的资产组合理论 ,证明了该问题的解的存在性和惟一性 ,利用原有的两基金分离定理 ,给出了在给定收益率下求解该问题的思路 ,并给出该问题有效投资组合边界的确定方法 .
The portfolio investment decision model including the risk free security under the condition of no short sale is studied. It is shown that there exists a unique solution of this model, with a new method to find out the solution presented, and the way to establish the efficient frontier is also studied.
出处
《中山大学学报（自然科学版）》
CAS
CSCD
北大核心
2001年第3期25-28,共4页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
广发证券"风险与收益决策分析模型"研究基金
关键词
不允许卖空
证券投资组合
无风险证券
有效边界
without short sale
portfolio selection
risk free security
efficient frontier
