对Treynor-Black投资组合模型的推广

The Extension of Treynor-Black Portfolio Construction Model

Treynor Black在1973年给出了一种不考虑交易成本,没有卖空、投资比例限制的基于单指数模型投资组合构建方法[1],该模型这种方法相比Markowitz1952年的方法[2]更为简单,并且容易推广。本文将该模型的限制卖空和具有投资比例限制以及多因子的情形,推广的结果使得该模型在实际投资中更为适用。

Treynor-Black gave a portfolio construction method based on the single factor model in 1973, under the condition that there are no sell short and the investment proportion limit, without considering the trading costs. Comparing with the method of Markowitz, the Treynor-Black model is simpler and easier to extend. This paper extends the Treynor-Blcak model to the condition permitting sell short and investment proportion limit and gives the multifactor model. The extension makes the application of the model more adaptive.