基于均值-方差有效前沿的投资组合性能评价相对指数

The Relative Index of Performance Evaluation of Portfolio Based on Mean-Variance Efficient Frontier

以马科维茨均值 -方差 (Mean- Variance)模型有效前沿 (efficient frontier)上的有效投资组合为参考投资组合 ,定义基于均值 -方差有效前沿的投资组合性能评价相对指数 。

Using an efficient portfolio in Markowitz's Mean Variance efficient frontier as a reference portfolio, this paper defines the relative index of performance evaluation of portfolio based on Markowitz's Mean Variance efficient frontier, describes the programs of the application of its performance in some cases.