石家庄学院学报
石傢莊學院學報
석가장학원학보
Journal of Shijiazhuang University
2010年
6期
95~102
,共null页
投资组合 均值-方差模型 借贷利率 最优投资策略 有效前沿 实证分析
投資組閤 均值-方差模型 藉貸利率 最優投資策略 有效前沿 實證分析
투자조합 균치-방차모형 차대리솔 최우투자책략 유효전연 실증분석
portfolio; mean-variance model; Interest rates for borrowing and lending; optimal investment strategy; effective frontier; empirical analysis
在不同借贷利率条件下建立了投资组合选择的Markowitz均值-方差模型,利用Kuhn-Tucker条件得到了含有无风险证券和不含有无风险证券2种情况下的最优投资策略和有效前沿的解析表达式,并应用中国股票市场上的实际数据对所得结论进行了实际分析.
在不同藉貸利率條件下建立瞭投資組閤選擇的Markowitz均值-方差模型,利用Kuhn-Tucker條件得到瞭含有無風險證券和不含有無風險證券2種情況下的最優投資策略和有效前沿的解析錶達式,併應用中國股票市場上的實際數據對所得結論進行瞭實際分析.
재불동차대리솔조건하건립료투자조합선택적Markowitz균치-방차모형,이용Kuhn-Tucker조건득도료함유무풍험증권화불함유무풍험증권2충정황하적최우투자책략화유효전연적해석표체식,병응용중국고표시장상적실제수거대소득결론진행료실제분석.
Portfolio selection is to seek a best allocation of wealth among a basket of securities which enables investors to seek the highest return after specifying their acceptable risk level.In this paper,under different borrowing and lending rate,a mathematical model of portfolio selection is established.Using Kuhn-Tucker condition,we obtained the optimal investment strategy and effective frontier of portfolio selection with a riskless asset or without a riskless asset.Finally,the results obtained in the thesis are illustrated on Chinese stock market’s data.
