| 证券收益率的极大线性无关组及两基金分离定理 |
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| 引用本文： | 姚海祥,李仲飞,马庆华. 证券收益率的极大线性无关组及两基金分离定理[J]. 数学的实践与认识, 2010, 40(17) |
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| 作者姓名： | 姚海祥 李仲飞 马庆华 |
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| 作者单位： | 广东外语外贸大学信息科学技术学院;中山大学岭南学院; |
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| 基金项目： | 国家杰出青年科学基金，国家自然科学基金，广东省哲学社会科学规划项目，广东高等院校学科建设专项资金(育苗工程)，广东省自然科学基金 |
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| 摘 要： | 在无套利假设下,利用概率论结合线性代数的方法进一步研究了当n种风险资产的协方差矩阵∑是奇异时的证券投资组合问题,在均值-方差模型的框架下得到模型的一些本质特征,并证明了此时的两基金分离定理仍然成立的.
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| 关 键 词： | 奇异协方差矩阵 有效组合边界 两基金分离定理 极大线性无关组 |
The Maximal Linearly Independent Group of Assets and the Two Fund Separation Theorem |
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| YAO Hai-xiang,LI Zhong-fei,MA Qing-hua. The Maximal Linearly Independent Group of Assets and the Two Fund Separation Theorem[J]. Mathematics in Practice and Theory, 2010, 40(17) |
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| Authors: | YAO Hai-xiang LI Zhong-fei MA Qing-hua |
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| Affiliation: | YAO Hai-xiang~(1,2),LI Zhong-fei~2,MA Qing-hua~1 (1.School of Information Science and Technology,Guangdong University of Foreign Studies,Guangzhou 510006,China) (2.Lingnan College,Sun Yat-sen University,Guangzhou 510275,China ) |
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| Abstract: | Under the arbitrage-free market hypothesis this paper uses the new method to study the portfolio selection problem when the variance-covariance matrix of the risk securities is singular.First we obtain some characteristics of the mean-variance model.Furthermore we prove the two fund separation theorem of the mean-variance model under singular variance-covariance matrix. |
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| Keywords: | singular variance-covariance matrix the two fund separation theorem efficient portfolio frontier maximal linearly independent group |
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