不存在无风险资产的投资组合灵敏度分析(英文)

Portfolio's Sensitivity Analysis without Riskless Asset

本文研究了M V证券投资组合灵敏度分析方法 .考虑了不存在无险资产时证券预期收益率和协方差矩阵存在扰动的情形 。

This paper gives approaches to the sensit ivity analysis for Mean-Variance (M-V) portfolios. The floating equations of the efficient frontier and expansion path are presented for changes in the security expected return and covariance matrix(as a reflection of risk) in case without riskless asset.