摘要
本文研究当市场不存在无风险收益证券且允许卖空时证券组合特征关于证券数减少的灵敏度分析，给出了有效边缘、渐近线斜率、全局最小方差证券组合及其协方差、最小方差证券组合的投资权数、最小方差证券组合之间结合线等的变化模式，得到了一些有意义的结果．这不仅是对证券组合选择理论的进一步完善。
In this paper,sensitivity analysis for M V portfolio and its properties on decreasing securities is given by means of the M V portfolio selection theory under none of the securities is riskless and short sales is allowed.The changing way of efficient frontier,global minimum variance portfolio and its covariance,the weights of minimum variance portfolio,the connection line between minimum variance portfolio is given.Some results are very interest for portfolio selection theory and investor.
出处
《应用数学》
CSCD
1999年第3期49-54,共6页
Mathematica Applicata
关键词
最小方差
灵敏度
M-V证券组合
证券数减少
Minimum Variance Portfolio
Efficient Frontier
Connection Line
Feasible Set
