摘要
建立一个新的直接确定有效证券组合的模型 ,给出不允许卖空条件下存在借贷利率不相同的无风险资产时不相关证券组合有效集及投资比例的完全解析表示 。
We set up a new efficient portfolio model and present the efficient set of uncorrelative securities as well as formulas of investment proportions when short sales are not allowed on risky ones and there exists riskless asset can be lended or borrowed. Meanwhile, it were studied the fluctuation of the efficient set and investment proportions when the number of securities increased.
出处
《系统工程》
CSCD
北大核心
2002年第1期24-27,共4页
Systems Engineering
基金
宁夏自然科学基金资助项目 (F0 0 3)
关键词
组合投资有效集
动态分析
证券组合
证券市场
Uncorrelative Securities
Efficient Portfolio Sets
Riskless Asset
No Selling Short
Fluctuation Analysis
