| 限制卖空证券组合有效边缘的灵敏度分析 |
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| 引用本文： | 李栓劳,徐成贤.限制卖空证券组合有效边缘的灵敏度分析[J].应用数学,2000,13(2):72-75. |
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| 作者姓名： | 李栓劳 徐成贤 |
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| 作者单位： | 西安交通大学理学院,陕西,西安,710049 |
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| 基金项目： | 西安交通大学理科基金资助 |
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| 摘 要： | 本文利用参数二次规划对偶性理论讨论了限制卖空的证券组合有效边缘的性质。分析的结果表明：有限制卖空的证券组合的有效边缘是一条连续的、凸的、分片二次函数连接而成的曲线。应用三元分割技术可以得到，在可选择证券空间上，有些证券从不会作为投资选择的对象。
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| 关 键 词： | 限制卖空 症券组合 参数二次规划 有效边缘 |
| 修稿时间： | 1999-09-30 |
Sensitivity Analysis of the Efficient Portfolio Frontier of Restricted Short Sale |
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| LI Shuan-lao,XU Cheng-xian.Sensitivity Analysis of the Efficient Portfolio Frontier of Restricted Short Sale[J].Mathematica Applicata,2000,13(2):72-75. |
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| Authors: | LI Shuan-lao XU Cheng-xian |
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| Abstract: | In this paper, the efficient portfolio frontier
is derived for cases in which short sales are not allowed by dual theory of parametrical
programming. Analytic result shows that the efficient portfolio frontier in which short
sales are not allowed is a continuous and convex and piecewise quadratic curve. Applying
tripartition technique may obtain which assets will never select as investment objective
in selected asset space. |
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| Keywords: | Restricted short sell Portfolio Parametrical quadratic programming Tripartition |
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