中山大学学报(自然科学版)
中山大學學報(自然科學版)
중산대학학보(자연과학판)
ACTA SCIENTIARUM NATURALIUM UNIVERSITATIS SUNYATSENI
2001年
3期
25-28
,共4页
不允许卖空%证券投资组合%无风险证券%有效边界
不允許賣空%證券投資組閤%無風險證券%有效邊界
불윤허매공%증권투자조합%무풍험증권%유효변계
研究了不允许卖空条件下含无风险证券的资产组合理论,证明了该问题的解的存在性和惟一性,利用原有的两基金分离定理,给出了在给定收益率下求解该问题的思路,并给出该问题有效投资组合边界的确定方法.
研究瞭不允許賣空條件下含無風險證券的資產組閤理論,證明瞭該問題的解的存在性和惟一性,利用原有的兩基金分離定理,給齣瞭在給定收益率下求解該問題的思路,併給齣該問題有效投資組閤邊界的確定方法.
연구료불윤허매공조건하함무풍험증권적자산조합이론,증명료해문제적해적존재성화유일성,이용원유적량기금분리정리,급출료재급정수익솔하구해해문제적사로,병급출해문제유효투자조합변계적학정방법.
The portfolio investment decision model including the risk free security under the condition of no short sale is studied. It is shown that there exists a unique solution of this model, with a new method to find out the solution presented, and the way to establish the efficient frontier is also studied.