CAJ | 학술논문

讨论了卖空条件下,按卖空中股价比例收取成本费用的证券投资基金投资组合选择问题,提出了有卖空成本、考虑基金管理人风险偏好的证券投资基金投资组合选择最优化模型,求出了最优解的解析表达式及其有效边界.在此基础上,结合模型的有效边界及相应的置信水平对模型最优解存在条件进行了分析并提出了相关定理.最后,进行了算法释例.
토론료매공조건하,안매공중고개비례수취성본비용적증권투자기금투자조합선택문제,제출료유매공성본、고필기금관리인풍험편호적증권투자기금투자조합선택최우화모형,구출료최우해적해석표체식급기유효변계.재차기출상,결합모형적유효변계급상응적치신수평대모형최우해존재조건진행료분석병제출료상관정리.최후,진행료산법석례.
We discussed the problem of portfolio selection for mutual fund when the cost of short selling is proportional to the price of stock. Furthermore, a portfolio selection model for mutual fund is presented combining with cost of short selling and investors'risk preference. The properties of existence of the optimal solution and the effective frontier of the model were discussed. Finally, an illustrative example was provided.