有风险资产投资组合动态分析

Dynamic analysis for risk assets portfolio

在允许卖空的情况下 ,研究了有风险资产组合在不同时期 ,当预期收益率变化和风险资产品种数增加k(≥ 1)种时的M V有效边缘漂移和投资比例变化问题 ,给出了漂移和投资比例变化公式 ,并进行了数值分析 .

Under the situation of short sales allowed, the drift of M-V risk assets efficient frontier and the investment proportion change are studied when the rate of its expectation return fluctuates and kinds of risk assets increases k in different periods.This paper gives out some results about the drift direction and the drift distance and the investment proportion change, and puts into practical analysis.So it processes fairly value of theory and practice.