摘要
本文考虑无风险利率下投资组合的有效前沿问题。本文首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来 ,然后将无风险利率下投资组合的有效前沿也用投资组合的权重向量表示出来 ,再由无风险利率下投资组合有效前沿的定义即可求出这个有效前沿。
This paper discusses the problem of the efficient frontier of portfolio include a risk free asset. It first denotes the efficient frontier of Markowitz model with the weights vector of portfolio. Then, it denotes the efficient frontier of portfolio include a risk free asset with the weights vector too. By the definition, the efficient frontier thus can be identified.
出处
《北京理工大学学报（社会科学版）》
2002年第2期75-78,共4页
Journal of Beijing Institute of Technology：Social Sciences Edition
