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工程数学学报 공정수학학보
CHINESE JOURNAL OF ENGINEERING MATHEMATICS
2003年 6期 21-25 ,共5页

薛宏刚%徐成贤%郭文艳%苗保山薛宏剛%徐成賢%郭文豔%苗保山

설굉강%서성현%곽문염%묘보산

收益率%协方差矩阵%最优投资组合%有效边缘%组合扩展路径收益率%協方差矩陣%最優投資組閤%有效邊緣%組閤擴展路徑
수익솔%협방차구진%최우투자조합%유효변연%조합확전로경
return rate%covariance matrix%optimal portfolio%efficient frontier%portfolio expansion path

研究了M-V证券投资组合灵敏度分析方法.分别考虑了证券市场存在无风险资产时证券预期收益率和协方差矩阵有扰动的情形,给出了最优投资组合有效边缘的漂移方程及组合扩展路径,以便投资者能根据扰动情况及时调整自己的投资组合.
연구료M-V증권투자조합령민도분석방법.분별고필료증권시장존재무풍험자산시증권예기수익솔화협방차구진유우동적정형,급출료최우투자조합유효변연적표이방정급조합확전로경,이편투자자능근거우동정황급시조정자기적투자조합.
This paper gives approaches to the sensitivity analysis for Mean-Variance (M-V) portfolios with riskless asset.The floating equations of the efficient frontier and expansion path are presented for changes in the security expected return and covariance matrix (as a reflection of risk) in case existing riskless asset, so that portfolios can be adjusted in time according to disturbance.