M-V证券数变化时有效前沿的研究

Research on the M-V efficient frontier as the security number changes

文章分析研究了在市场存在无风险资产收益证券且允许卖空时,证券数目所产生的有效前沿的变化问题,并利用两基金分离定理讨论了切点位置的变动情况,从切点的位置变化中分析证券的收益大小,与不存在无风险证券情况下的证券收益进行比较,得出了一些比较有实际意义的结果。

Based on the MV portfolio selection theory,a research into the MV portfolio efficient frontier is carried out as the security number decreases or increases on condition that there exits a nonrisk yield security and the market is permitting short sale. The position variation of the tangent point is discussed with the TwoFund Separation Principle,and the benefit of the securities is analyzed and compared with the benefit which can be brought under the condition that there is a risk yield security and the market is permitting short sale. Then some practical results are obtained.