首页 | 本学科首页   官方微博 | 高级检索  
     检索      

证券数减少情形下M—V证券组合特征灵敏度分析
引用本文:侯为波,徐成贤.证券数减少情形下M—V证券组合特征灵敏度分析[J].应用数学,1999,12(3):49-54.
作者姓名:侯为波  徐成贤
作者单位:西安交通大学理学院
摘    要:本文研究当市场不存在无风险收益证券且允许卖空时证券组合特征关于证券数减少的灵敏度分析,给出了有效边缘、渐近线斜率、全局最小方差证券组合及其协方差、最小方差证券组合的投资权数、最小方差证券组合之间结合线等的变化模式,得到了一些有意义的结果.这不仅是对证券组合选择理论的进一步完善,对投资者也具有一定的指导意义

关 键 词:最小方差证券组合  有效边缘  结合线  可行集

Sensitivity Analysis for M V Portfolio and Its Properties
Hou Weibo.Sensitivity Analysis for M V Portfolio and Its Properties[J].Mathematica Applicata,1999,12(3):49-54.
Authors:Hou Weibo
Abstract:In this paper,sensitivity analysis for M V portfolio and its properties on decreasing securities is given by means of the M V portfolio selection theory under none of the securities is riskless and short sales is allowed.The changing way of efficient frontier,global minimum variance portfolio and its covariance,the weights of minimum variance portfolio,the connection line between minimum variance portfolio is given.Some results are very interest for portfolio selection theory and investor.
Keywords:Minimum Variance Portfolio  Efficient Frontier  Connection Line  Feasible Set  
本文献已被 CNKI 维普 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号