| 证券数增加情形下证券组合有效边缘特征灵敏度分析 |
| |
| 引用本文： | 侯为波,徐成贤.证券数增加情形下证券组合有效边缘特征灵敏度分析[J].大学数学,2002,18(3):13-20. |
| |
| 作者姓名： | 侯为波 徐成贤 |
| |
| 作者单位： | 1. 西安交通大学,理学院,陕西,西安,710049;淮北煤炭师范学院,数学系,安徽,淮北,235000
2. 西安交通大学,理学院,陕西,西安,710049 |
| |
| 摘 要： | 本文较为详细地讨论了当证券市场不存在无风险收益证券且允许卖空时证券数的增加对 M-V证券组合有效边缘及其特征的影响 ,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等的变化模式
|
| 关 键 词： | 证券组合 有效边缘 可行集 |
| 文章编号： | 1007-4120(2002)03-0013-08 |
| 修稿时间： | 2001年12月17 |
Sensitivity Analysis for Portfolio Efficient Frontier and Its Propertiers on Increasing Securities |
| |
| HOU Weibo ,XU Chengxian.Sensitivity Analysis for Portfolio Efficient Frontier and Its Propertiers on Increasing Securities[J].College Mathematics,2002,18(3):13-20. |
| |
| Authors: | HOU Weibo XU Chengxian |
| |
| Institution: | HOU Weibo 1,2,XU Chengxian 1 |
| |
| Abstract: | In this paper, sensitivity analysis for MV por tf olio efficient frontier and its properties on increasing securities is given by means of the MV portfolio selection theory with none of the securities is risk less and short sales are allowed. The change ways of efficient frontier, the slo p of the asymptotic line, the global minimum variance portfolio and its covari ance , the weights of minimum variance portfolio are given. |
| |
| Keywords: | portfolio efficient frontier feasible set |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
