摘要
限制性卖空的引入有助于扩展投资机会空间 ,增强市场效率。本文在以往研究基础上 ,进一步讨论了允许限制性卖空情况下组合证券投资有效边界的特征 ,得出了有意义的结论。文中还针对收益率协方差矩阵的结构特征 ,提出了一种相对于文献 [6]的方法计算效率更高。
Restricted short selling can increase the efficiency of the security market by expanding the opportunity space.Based on earlier results about the efficient frontiers of portfolios without short sales,this paper further studies the characteristics of the efficient frontiers of portfolios in which restricted short selling is allowed.Additionally,an improved parametric simplex method with higher computation efficiency is proposed for tracing the efficient frontiers by utilizing the structural properties of covariance matrix of security returns.
出处
《管理工程学报》
CSSCI
1997年第3期147-154,共8页
Journal of Industrial Engineering and Engineering Management
基金
国家教委优秀年轻教师基金资助项目
项目编号 :教人司 (1 994) 357号
国家自然科学基金资助项目
项目编号 :792 70 0 83
关键词
组合证券
有效边界
限制性卖空
风险容忍度
Portfolio, Efficient frontier, Restricted short selling, Risk tolerance, Parametric simplex method
