| 存在无风险资产的M-V有效前沿进一步研究 |
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| 引用本文： | 张丽.存在无风险资产的M-V有效前沿进一步研究[J].商丘师范学院学报,2007,23(6):43-45. |
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| 作者姓名： | 张丽 |
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| 作者单位： | 洛阳师范学院,数学与信息科学系,河南,洛阳,471022 |
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| 摘 要： | 在均值-方差证券选择理论的基础上,引入扰动因子对增加证券数目后原有证券组合间相关性的改变进行了描述,运用代数运算简化模型推导,分析了在市场存在无风险证券且允许卖空条件下受扰动的M-V有效前沿,并且得出了有效前沿发生漂移的结论.为投资者及其投资决策提供了基本的方法和有意义的思路.
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| 关 键 词： | M-V证券 有效前沿 扰动因子 漂移 |
| 文章编号： | 1672-3600（2007）06-0043-03 |
| 收稿时间： | 2006-05-31 |
| 修稿时间： | 2006-05-31 |
Study on the M-V efficient frontier with non-risk assets |
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| ZHANG Li.Study on the M-V efficient frontier with non-risk assets[J].Journal of Shangqiu Teachers College,2007,23(6):43-45. |
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| Authors: | ZHANG Li |
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| Institution: | Dept. of Mathematics and Information Sciences, Luoyang Teachers College, Luoyang 471022, China |
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| Abstract: | In this paper,based on the M-V portfolio selection theory,introduce a parameter about perturbation to subscribe the change of correlation between the former securities as one security increased,by simplifying the initial model with an ingenious algebraic calculation,this paper discussed the efficient frontier of meansvariance portfolio with perturbation under the situation of short sales allowed.And also some conclusions of the efficient frontier of drifting movement are given.Then some basic method and interest thoughts are obtained to portfolio selection theory and investors. |
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| Keywords: | means-variance portfolio efficient frontier perturbation the drift movement |
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